Trading Volume Around Firm-Specific Announcements

41 Pages Posted: 26 Aug 2013 Last revised: 21 Oct 2013

See all articles by Priyantha Mudalige

Priyantha Mudalige

Curtin University- School of Economics, Finance and property

Petko S. Kalev

La Trobe Business School

Huu Nhan Duong

Monash University - Department of Banking and Finance; Financial Research Network (FIRN)

Date Written: August 26, 2013

Abstract

This 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.

Keywords: Institutional investors, Individual investors, Standard volume, Abnormal volume, Firm-specific announcements, Scheduled announcements, Unscheduled announcements

JEL Classification: G12, G14

Suggested Citation

Mudalige, Priyantha and Kalev, Petko S. and Duong, Huu Nhan, Trading Volume Around Firm-Specific Announcements (August 26, 2013). 26th Australasian Finance and Banking Conference 2013, Available at SSRN: https://ssrn.com/abstract=2315997 or http://dx.doi.org/10.2139/ssrn.2315997

Priyantha Mudalige

Curtin University- School of Economics, Finance and property ( email )

Building, 408 Room 3035
Kent St.
Bentley, WA 6102
Australia
61892669977 (Phone)

Petko S. Kalev (Contact Author)

La Trobe Business School ( email )

Department of Economics and Finance
Donald Whitehead Building: Level 3, DWB313
Bundoora, Victoria 3086
Australia
+613 9479 6285 (Phone)
+613 9479 1654 (Fax)

HOME PAGE: http://www.latrobe.edu.au/business/about/staff/profile?uname=PKalev

Huu Nhan Duong

Monash University - Department of Banking and Finance ( email )

Melbourne
Australia

Financial Research Network (FIRN)

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

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

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