Information Processing on the Swiss Stock Market

Financial Markets and Portfolio Management, Vol. 18, No. 3, pp. 256-284, 2004

48 Pages Posted: 27 Jan 2004

See all articles by Manuel Ammann

Manuel Ammann

University of St. Gallen - School of Finance

Stephan Kessler

Universität St. Gallen - Swiss Institute of Banking and Finance

Date Written: January 2004

Abstract

We conduct an event study to investigate the processing of information and the existence of insider trading on the Swiss stock market. Although Swiss laws are less restrictive than those of other countries, we find the empirical evidence for systematic insider trading before the publication of information to be fairly weak. Even for information producing large positive or negative returns upon publication, no statistically significant run-up returns can be detected. Regarding the processing of information, the Swiss market appears to be rather slow in incorporating new information into stock prices. We find significantly abnormal returns for approximately four days following the date of the publication of price-relevant information. Information with a large price impact seems to be processed faster than information with a small impact. The market value of a firm seems to have only a limited impact on the processing of information. Whereas the price impact of information is larger for small firms, the speed of information processing is not.

Suggested Citation

Ammann, Manuel and Kessler, Stephan, Information Processing on the Swiss Stock Market (January 2004). Financial Markets and Portfolio Management, Vol. 18, No. 3, pp. 256-284, 2004. Available at SSRN: https://ssrn.com/abstract=493144 or http://dx.doi.org/10.2139/ssrn.493144

Manuel Ammann

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

Stephan Kessler

Universität St. Gallen - Swiss Institute of Banking and Finance ( email )

Rosenbergstr. 52
CH-9000 St.Gallen
Switzerland

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