Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case

24 Pages Posted: 1 Feb 2005

See all articles by Andre Guettler

Andre Guettler

University of Ulm - Department of Mathematics and Economics; Halle Institute for Economic Research

Jan Muntermann

University of Frankfurt

Abstract

This paper examines intraday stock price and trading volume effects caused by ad hoc disclosures in Germany. The evidence suggests that the stock prices react within 30 minutes after the ad hoc disclosures. The adjustment of the trading volume needs even more time. We find no evidence for abnormal high price nor trading volume reactions in the 5 transactions before ad hoc disclosures. The bigger the company, which announces an ad hoc disclosure, the less severe the abnormal price effect, following the announcement, is. The higher the trading volume at the last trading day before the announcement, the higher the price and trading volume effects, after the ad hoc disclosures, are.

Keywords: Ad hoc disclosure rules, intraday stock price adjustments, market efficiency

JEL Classification: G14, K22

Suggested Citation

Guettler, Andre and Muntermann, Jan, Intraday Stock Price Effects of Ad Hoc Disclosures: The German Case. Journal of International Financial Markets, Institutions and Money, Vol. 17, No. 1, 2007. Available at SSRN: https://ssrn.com/abstract=657922 or http://dx.doi.org/10.2139/ssrn.657922

Andre Guettler (Contact Author)

University of Ulm - Department of Mathematics and Economics ( email )

Helmholzstrasse
Ulm, D-89081
Germany

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06017 Halle, 06108
Germany

Jan Muntermann

University of Frankfurt ( email )

Gr├╝neburgplatz 1
Frankfurt am Main, 60323
Germany

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