An Analysis of ASX Price Queries

A. Marsden, Russell Poskitt

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

This study examines 'no news' responses to stock price queries issued by the Australian Stock Exchange (ASX). We find strong evidence that the pre-query changes in price are driven by informed traders rather than by speculators. First, there is only a partial reversion in prices following a 'no news' response by a company in receipt of a price query. Second, the adverse selection component of market spreads rise during the immediate pre-query period and then decline following the company response. Last, the mean level of institutional shareholder ownership increases in the period immediately prior to an ASX query of a price increase. © 2009 CPA Australia.
Original languageEnglish
Pages (from-to)217-230
Number of pages14
JournalAustralian Accounting Review
Volume19
Issue number3
DOIs
Publication statusPublished - 2009

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