Order Flow and Price Effects Surrounding an ASX Announcement
* Schools of Accounting and Banking & Finance, UNSW; and UWA Business School
** UWA Business School
Abstract
Brown, Forbes and Wee (2003) examine order flows surrounding four types of announcement on the Australian Stock Exchange (ASX). They conclude that ASX “largely gets it right” when classifying some announcements as market sensitive and others as not. We extend their study in two important ways: (1) by examining trade- to-trade price changes and time elapsed between successive trades as well as order flow; and (2) by testing a substantially more comprehensive set of announcement types. We find the majority of market sensitive announcement ...
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