The Intraday Market Response to Adjustment of Earnings Forecasts Announcements during Trading and Nontrading Periods

• Main Authors: Kuei-Chih Cheng, 曾貴枝
• Other Authors: Horace Chueh
• Format: Others
• Language: zh-TW
• Published: 1999
• Online Access: http://ndltd.ncl.edu.tw/handle/44518082454635561454

碩士 === 國立高雄第一科技大學 === 金融營運系碩士班 === 87 === Market efficiency can be found by the speed of market response to new information. But we can expect that the response to news released during trading hours differs from the response to news released during nontrading hours. The data for this study consists of 101 adjustment of earnings forecasts announcements by Taiwan Securities Exchange firms between August 1997 and July 1998.The results support the following inferences：First, regardless of good news or bad news, the result indicates that before releasing adjustment of earnings forecasts announcement, the trading volume increases and order flow imbalance is evident with selling pressure, resulting from uncertainty brought by information asymmetry. Second, regardless of good news or bad news, the result indicates that after releasing adjustment of earnings forecasts announcement, there are significant abnormal return and trading volume with indifferent response persistence. As for order flow imbalance, abnormal order imbalance of bad news lasts longer. Third, as for abnormal return and order flow imbalance, the response to adjustment of earnings forecasts announcements during trading hours are indifferent from those during nontrading hours. As to trading volume, the abnormal trading volume to announcements during trading hours happens later and lasts longer.