Overnight Public Information, Order Placement and Price Discovery During the Pre-Opening Period

51 Pages Posted: 14 Mar 2011 Last revised: 6 Jan 2016

See all articles by Fariborz Moshirian

Fariborz Moshirian

Institute of Global Finance, UNSW Business School

Lily Nguyen

The University of Queensland - UQ Business School

Peter K. Pham

Australian School of Business - University of New South Wales; Financial Research Network (FIRN)

Date Written: March 14, 2011

Abstract

This study examines the impact of corporate news announcements released overnight on price discovery during the pre-opening period in the Australian Securities Exchange. Our results suggest that the presence of these announcements increases the efficiency of indicative opening prices and that the intensity of these announcements significantly influences the aggressiveness of pre-opening orders. Using earnings announcements to compare the speed of price adjustments in response to overnight and daytime information of a homogeneous type, we find that prices respond immediately to overnight news upon the commencement of trading, whereas adjustments based on trading-hours news tend not to be instantaneous. Overall, our evidence highlights the important role of the pre-opening period in price discovery and the prospect of further enhancing this role by timing the release of public information to occur during non-trading hours.

Keywords: Price discovery; Overnight news announcements; Pre-opening period

JEL Classification: G14

Suggested Citation

Moshirian, Fariborz and Nguyen, Lily and Pham, Peter Kien, Overnight Public Information, Order Placement and Price Discovery During the Pre-Opening Period (March 14, 2011). Journal of Banking and Finance, 2012, Forthcoming; FIRN Research Paper. Available at SSRN: https://ssrn.com/abstract=1785682 or http://dx.doi.org/10.2139/ssrn.1785682

Fariborz Moshirian

Institute of Global Finance, UNSW Business School ( email )

Sydney, NSW 2052
Australia
+61 2 93855859 (Phone)
+61 2 94877519 (Fax)

Lily Nguyen (Contact Author)

The University of Queensland - UQ Business School ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Peter Kien Pham

Australian School of Business - University of New South Wales ( email )

UNSW Business School
High St
Sydney, NSW 2052
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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