Abnormal trading volume reactions surrounding public earnings announcement dates in Hong Kong stock market where substantial/family shareholding is high : implications for policy makers

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Abnormal trading volume reactions surrounding public earnings announcement dates in Hong Kong stock market where substantial/family shareholding is high : implications for policy makers

 

Author: Fung, Kin
Title: Abnormal trading volume reactions surrounding public earnings announcement dates in Hong Kong stock market where substantial/family shareholding is high : implications for policy makers
Degree: M.Sc.
Year: 1999
Subject: Stock exchanges -- China -- Hong Kong
Hong Kong Polytechnic University -- Dissertations
Department: Dept. of Accountancy
Pages: ix, 82, [91] leaves : ill. ; 30 cm
Language: English
InnoPac Record: http://library.polyu.edu.hk/record=b1473276
URI: http://theses.lib.polyu.edu.hk/handle/200/1539
Abstract: The objective of this paper is to provide some empirical evidence to support the need to implement additional financial disclosure requirements and regulatory control in a cross-cultural information management environment where substantial/family shareholding is high. It is achieved by empirical examination of the associations between abnormal trading volume reaction, abnormal return, firm size and substantial/family shareholding surrounding interim and annual earnings announcement dates. It is unique in the sense that this study tests trading volume theory in a cross-cultural information management environment based on samples from Hong Kong listed firms by extending Atiase and Bamber(1994), Kim, Krinsky and Lee (1996) and Utama and Cready(1997)'s models. It is hypothesized that there is a significant relation between abnormal trading volume reaction and substantial/family shareholding surrounding earnings announcement dates and such relation is linear in general, and is quadratic and concave in particular when substantial/family shareholdings sub-ranges are considered. I find that the relation between abnormal trading volume reaction and substantial/family shareholding is negative and significant. Such relation is linear. This finding is in general consistent with that documented by Kim et al(1996). When one more variable, which is the square of the substantial/family shareholding variable, is added to the regression, I find that the relation between abnormal trading volume reaction and substantial/family shareholding turns out to be positive and significant, and between the square of shareholdings is negative and significant. Abnormal trading volume reaction begins to rise at its intercept, it reaches its maximum at the 34.83% shareholding point and then turns down. These findings are consistent with that reported by Utama and Cready(1997). These observations give evidence to support the need to implement additional financial disclosure requirements and regulatory controls.

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