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An Analysis of ASX Price Queries

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’ 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Australian Accounting Review Wiley

An Analysis of ASX Price Queries

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Publisher
Wiley
Copyright
© 2009 CPA Australia
ISSN
1035-6908
eISSN
1835-2561
DOI
10.1111/j.1835-2561.2009.00059.x
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Australian Accounting Review – Wiley

Published: Sep 1, 2009

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