| 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 Department of Accountancy |
| Pages: | 52 leaves : col. ill. ; 30 cm |
| Language: | English |
| 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. |
| Rights: | All rights reserved |
| Access: | restricted access |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| b15555112.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 3.73 MB | Adobe PDF | View/Open |
Copyright Undertaking
As a bona fide Library user, I declare that:
- I will abide by the rules and legal ordinances governing copyright regarding the use of the Database.
- I will use the Database for the purpose of my research or private study only and not for circulation or further reproduction or any other purpose.
- I agree to indemnify and hold the University harmless from and against any loss, damage, cost, liability or expenses arising from copyright infringement or unauthorized usage.
By downloading any item(s) listed above, you acknowledge that you have read and understood the copyright undertaking as stated above, and agree to be bound by all of its terms.
Please use this identifier to cite or link to this item:
https://theses.lib.polyu.edu.hk/handle/200/462