Market liquidity and trading volume reaction around earnings announcement and intraindustry information transfer : the case of HSBC in Hong Kong

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Market liquidity and trading volume reaction around earnings announcement and intraindustry information transfer : the case of HSBC in Hong Kong

 

Author: Man, Ray
Title: Market liquidity and trading volume reaction around earnings announcement and intraindustry information transfer : the case of HSBC in Hong Kong
Degree: M.Sc.
Year: 2001
Subject: Hongkong and Shanghai Banking Corporation
Stocks -- China -- Hong Kong
Hong Kong Polytechnic University -- Dissertations
Department: Multi-disciplinary Studies
Dept. of Accountancy
Pages: 52 leaves : col. ill. ; 30 cm
Language: English
InnoPac Record: http://library.polyu.edu.hk/record=b1555511
URI: http://theses.lib.polyu.edu.hk/handle/200/462
Abstract: This study investigates how the earnings announcement of a market leader, Hongkong and Shanghai Banking Corporation (HSBC), affects the trading volume and liquidity of its stock around the earnings announcement period. Results show that trading volume of HSBC increases and liquidity decreases after HSBC's earnings announcement. These findings are consistent with the expected effects of the announcement in the presence of informed traders and discretionary liquidity traders. There are temporary increase in relative spreads and drop in dollar depth for the stock of HSBC but both are eliminated shortly after the earnings announcement. In contrast to the above inter-day result, intra-day data in this study reveal no apparent difference in the intra-day patterns compared with other normal trading days in trading volume, dollar depth and relative spreads. This study also explores the effects of information transfer across firms in the banking industry using trading volume, depth and relative spreads as proxies for the information flow from HSBC to the banking industry. However, information transfer is not statistically significant but shows a consistent directional sign in volume reaction. Limited sample size might be the main reason for the low statistical significance.

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