Public information arrival and volatility of intraday stock returns

Kalev, Petko S.; Liu, Wai-Man Raymond; Pham, Peter K.; Jarnecic, Elvis

doi:10.1016/s0378-4266(03)00126-2

Cited by 187 publications

(39 citation statements)

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“…Such intraday patterns generate heteroscedasticity, which distorts statistical results. One approach to deal with the abnormal trading activity, especially in the opening period, is to introduce a dummy variable for the first trading hour (Kalev et al 2004). Since we restrict our sample to ad hoc disclosures with at least five transactions before and 15 after the announcement, we only have 5 ad hoc disclosures in the first trading hour and 3 in the last trading hour.…”

Section: Resultsmentioning

confidence: 99%

“…Since we restrict our sample to ad hoc disclosures with at least five transactions before and 15 after the announcement, we only have 5 ad hoc disclosures in the first trading hour and 3 in the last trading hour. Hence, the approach of Kalev et al (2004) is ne ither necessary nor useful for this study since we have so few events in periods with abnormal trading activity. Nevertheless, we avoid biased statistical results by using heteroscedasticityconsistent White t -Statistics (White 1980).…”

Section: Resultsmentioning

confidence: 99%

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Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case

Guettler

Muntermann

2005

SSRN Journal

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This paper examines intraday stock price effects and trading activity caused by ad hoc disclosures in Germany. The evidence suggests that the observed stock prices react within 90 minutes after the ad hoc disclosures. Trading volumes take even longer to adjust. We find no evidence for abnormal price reactions or abnormal trading volume before announcements. The bigger the company that announces an ad hoc disclosure, the less severe is the abnormal price effect following the announcement. The number of analysts is negatively correlated to the trading volume effect before the ad hoc di sclosure. The higher the trading volume on the last trading day before the announcement, the greater is the price effect after the ad hoc disclosures and the greater the trading volume effect.Keywords: ad hoc disclosure rules, intraday stock price adjustments, market efficiency JEL-Classification: G14, K22 1 IntroductionSince early 1995, companies whose shares are traded officially in Germany have been obliged to publish without delay all newly available information which may be of relevance to the price of their stock. This regulation was introduced to prevent insider conflicts caused by asymmetrical information supply. Furthermore, it was believed that a prompt supply of i nformation would increase the amount of information available to the capital market, thus making it easier to perform fair company evaluations.According to the theory of information efficiency, security prices should immediately reflect all information available to the efficient capital market (Fama, 1970). As positive information and trading cost can be expected, this extreme efficiency hypothesis cannot be held (Fama, 1991). This study focuses on the information content provided by ad hoc disclosures pursuant to section 15 of the German Securities Trading Law (WpHG). Therefore, an event study is performed in order to prove the existence of abnormal returns and abnormal trading activity prior to and after the publication date of the announcements. If abnormal returns and trading volume can be observed, the intraday speed of stock price adjustments should provide evidence regarding the market and informa tion efficiency. Furthermore, anticipation effects or insider trading activity can be proven if significant market effects can be observed prior to the announcement date. Consequently, the period following and prior to the publication, for which significant abnormal returns can be observed, has to be analyzed.To date, there have been four empirical studies analyzing the German capital market between 1995 and 1997 which concentrate on daily price effects (Nowak, 2001;Oerke, 1999;and Röder, 1999). All of these studies examine the existence of significant abnormal returns before, during and after the announcement date. Their research goal is to prove the existence of insider trading prior to the announcement date, an efficient market reaction on the announcement date and pheno mena such as herding after the announcement. All of these studies concentrate on ...

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Section: Resultsmentioning

confidence: 99%

Section: Resultsmentioning

confidence: 99%

Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case

Guettler

Muntermann

2005

SSRN Journal

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“…-A transaction can be made when the demand of protection-seekers (and/or speculators who would buy the contract) meets the supply of the speculators selling sCDS. -Excess volatility is generated through extensive trade (see for instance : Lamoureux and Lastrapes 1990;Kalev et al 2004; Będowska-Sójka 2014 and many others).…”

Section: A Simple Model Of Investors' Behaviour In the Scds Marketmentioning

confidence: 99%

The leverage effect puzzle: the case of European sovereign credit default swap market

Kliber

2016

Rev Deriv Res

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One of the stylized facts about the behaviour of time series is that their volatility exhibits asymmetrical responses to good and bad news. In the case of stock markets, volatility seems to rise when the stock price decreases and fall when the stock price increases. This so-called "leverage effect" was first described by Black (Proceedings of the 1976 meeting of the business and economic statistics section, pp [177][178][179][180][181] 1976). The concept is not new and has already been comprehensively studied and implemented in many volatility models (GARCH and SV) in the form of an additional parameter in the volatility equation. However, there is no study or a theoretical explanation of the leverage effect in sovereign credit default swap spreads (hereinafter: sCDS). In this article, we discuss the possible behaviour of sCDS volatility and explain it by way of reference to the Prospect Theory by Kahneman and Tversky (Econometrica 47(2): 1979). We estimate a series of stochastic volatility models with the leverage effect, proposed by Yu (J Econom 127(2): [165][166][167][168][169][170][171][172][173][174][175][176][177][178] 2005). In this model, the "leverage effect" is, in fact, the same as a coefficient of the correlation between the current return of an asset and its expected future volatility. We show that the effect does exist and differs across markets. As far as the safe European markets are concerned, the parameter is negative; in the case of extremely risky economies-it is positive. In markets of medium risk the effect varies depending on the relationship between the perceived risk and the value of the sCDS premium.

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“…To test the validity of this expectation, researchers in the past investigated the effect of public information arrival on asset returns and asset return volatility. One group of researchers used macroeconomic announcements as a proxy for new information arrival (Ederington and Lee 1993;Andersen and Bollerslev 1998;Almeida, Goodhart and Payne 1998;Pearce and Roley 1985;Solakoglu 2007, Kutan andAksoy, 2004a), while some other researchers used trading volume or the frequency of news arrival to the market as the proxy for the new information arrival (Lamoureux and Lastrapes 1990;Andersen 1996;Domowitz 1993, Locke andSayers 1993;Berry and Howe 1994;Kalev et al 2004;Mitchell and Mulherin 1994;Janssen 2004;Chang andTaylor 2003, Baklacı et al 2011;Solakoglu and Demir, 2015). Güvercin and Demir (2015a) examined the relationship between earnings announcements, earnings stability and firm value using panel data analysis.…”

Section: Introductionmentioning

confidence: 99%

The Effect of Earnings Announcements on Firm Value: A Quantile Regression Approach

Güvercin

2016

isader

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In this study, we examine the effect of earnings announcements on firm value by looking at the relationship at different points of the conditional distribution. The analysis covers non-financial companies listed in Borsa Istanbul's BIST100 index for the 2009-2013 years. The study also takes into account the effect of earnings persistence, whether the firm pay dividends, and brand name on the relationship between earnings announcements and firm value. Our analysis also investigates that relationship using a accurately method, namely Quantile Regression, by looking at the relationship at different points of the conditional distribution.

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Public information arrival and volatility of intraday stock returns

Cited by 187 publications

References 38 publications

Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case

Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case

The leverage effect puzzle: the case of European sovereign credit default swap market

The Effect of Earnings Announcements on Firm Value: A Quantile Regression Approach

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