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Trading Volume around Firm-Specific Announcements

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dc.contributor.authorDuong, H.N.
dc.contributor.authorKalev, P.S.
dc.contributor.authorMudalige, P.
dc.contributor.conference11th INFINITI International Conference (10 Jun 2013 - 11 Jun 2013 : France)
dc.date.issued2013
dc.description.abstractThis study investigates the impact of timing of the release of firm-specific announcements on trading volume of individual and institutional investors. We use trading data in five-minute intervals to capture the immediate impact of announcements on the trading volume. We find that individual investors exhibit positive and significant abnormal volume prior to, issued capital announcements and after earnings announcements. However, institutions exhibit significant and positive abnormal volume prior to, and after earnings, periodic and issued capital announcements. Notably, both individual and institutional investors do not exhibit significant abnormal volume prior to, and after dividend announcements. Furthermore, individual (institutional) investors’ buy (sell) volume is significantly higher than sell (buy) volume prior to, and after scheduled and unscheduled announcements. Our results suggest that timing of the release of firm-specific announcements influences investor trading volume.
dc.identifier.citationINFINITI International Conference, 2013
dc.identifier.urihttps://hdl.handle.net/11541.2/117495
dc.language.isoen
dc.publisher.placeAustralia
dc.subjectinstitutional investors
dc.subjectindividual investors
dc.subjecttrading volume
dc.subjectabnormal volume
dc.subjectfirm-specific announcements
dc.subjectscheduled announcements
dc.subjectunscheduled announcements
dc.titleTrading Volume around Firm-Specific Announcements
dc.typeConference item
pubs.publication-statusPublished
ror.mmsid9916015110901831

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