An Analysis of ASX Price Queries

This study examines ‘no news’ responses to stock price queries issued by the Australian Stock Exchange (ASX). We find strong evidence that the pre‐query changes in price are driven by informed traders rather than by speculators. First, there is only a partial reversion in prices following a ‘no news...

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Bibliographic Details
Published in:Australian accounting review 2009-09, Vol.19 (3), p.217-230
Main Authors: Marsden, Alastair, Poskitt, Russell
Format: Article
Language:English
Subjects:
Adverse selection
Costs
Disclosure
Hypotheses
Institutional investments
Order processing
Queries
Regression analysis
Securities trading
Stock exchanges
Stock prices
Stocks
Studies
Surveillance
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Summary:This study examines ‘no news’ responses to stock price queries issued by the Australian Stock Exchange (ASX). We find strong evidence that the pre‐query changes in price are driven by informed traders rather than by speculators. First, there is only a partial reversion in prices following a ‘no news’ response by a company in receipt of a price query. Second, the adverse selection component of market spreads rise during the immediate pre‐query period and then decline following the company response. Last, the mean level of institutional shareholder ownership increases in the period immediately prior to an ASX query of a price increase.
ISSN:1035-6908
1835-2561
DOI:10.1111/j.1835-2561.2009.00059.x