How do company announcements affect trading frequency in stocks?

Project: Research

Project Description

This project addresses the question of how financial markets respond to news by investigating how company announcements affect trading patterns in Australian banking stocks. Analysis will be based on new extensions to autoregressive conditional hazard (ACH) models, with research focussing on how to incorporate announcement variables into an ACH framework and how to modify standard ACH analysis to account for simultaneous transactions, market frictions and spillover effects. The results of this research will assist government and companies in choosing announcement times, aid traders in portfolio adjustment and will lead to a better understanding of the microstructure of Australian stock markets.
StatusActive
Effective start/end date1/01/04 → …

Funding

  • Australian Research Council (ARC): AUD127,294.00