Use of Different Trading Environments Around Interim Earnings Announcements on the Helsinki Stock Exchange

30 Pages Posted: 10 Mar 2002

See all articles by Markku J. Vieru

Markku J. Vieru

University of Lapland - Faculty of Social Sciences, Multidimensional Tourism Institute

Multiple version iconThere are 2 versions of this paper

Date Written: February 26, 2002

Abstract

This paper tests the hypothesis that an anticipated information event (e.g. interim earnings announcement) affects the use of trading venues. Data from the Helsinki Stock Exchange are used where an upstairs market co-exists with an anonymous downstairs market. Trades are classified also as in-house trades and externalised trades. In this study, evidence is found that before the announcement event, the proportion of cross-broker trading in the downstairs market increases compared with trading in this mode during a non-announcement period. Correspondingly in-house trades in the upstairs market tend to decrease before the announcement. After the announcement upstairs trading recovers. Furthermore, the empirical findings show that the use of cross-broker trades in the downstairs market is negatively related to the trading activity and intraday price volatility during the pre-announcement period. After the announcement especially the volatility association changes resulting in increased downstairs trading with high volatility.

Keywords: event study, information asymmetry, accounting disclosure, thin securities markets, trading behavior, trading execution mechanism

JEL Classification: D23, D82, G18

Suggested Citation

Vieru, Markku, Use of Different Trading Environments Around Interim Earnings Announcements on the Helsinki Stock Exchange (February 26, 2002). Available at SSRN: https://ssrn.com/abstract=301966 or http://dx.doi.org/10.2139/ssrn.301966

Markku Vieru (Contact Author)

University of Lapland - Faculty of Social Sciences, Multidimensional Tourism Institute ( email )

P.O. Box 122
Rovaniemi FIN-96101
Finland
+358 400 377641 (Phone)
+358 16 341 2600 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
205
Abstract Views
2,340
Rank
255,832
PlumX Metrics