Individual and Institutional Trading Volume Around Firm-Specific Announcements
36 Pages Posted: 22 Jan 2016
Date Written: January 20, 2016
We investigate the immediate impact of firm-specific announcements on the trading volume of individual and institutional investors on the Australian Securities Exchange (ASX). Institutional investors exhibit abnormal trading volume before and after announcements. However, individual investors indicate abnormal trading volume only after announcements. Consistent with outcomes expected from a dividend washing strategy, abnormal trading volume around dividend announcements is statistically insignificant. Both individual and institutional investors’ buy volumes are higher than sell volumes before and after scheduled and unscheduled announcements. Our results add to the understanding of individual and institutional investors’ trading behaviour around firm-specific announcements in a securities market with continuous disclosure.
Keywords: Institutional investors, Individual investors, Trading volume, Abnormal volume, Firm-specific announcements, Scheduled announcements, Unscheduled announcements
JEL Classification: G11, G12, G14
Suggested Citation: Suggested Citation