Overnight Public Information, Order Placement and Price Discovery During the Pre-Opening Period
51 Pages Posted: 14 Mar 2011 Last revised: 6 Jan 2016
Date Written: March 14, 2011
Abstract
This study examines the impact of corporate news announcements released overnight on price discovery during the pre-opening period in the Australian Securities Exchange. Our results suggest that the presence of these announcements increases the efficiency of indicative opening prices and that the intensity of these announcements significantly influences the aggressiveness of pre-opening orders. Using earnings announcements to compare the speed of price adjustments in response to overnight and daytime information of a homogeneous type, we find that prices respond immediately to overnight news upon the commencement of trading, whereas adjustments based on trading-hours news tend not to be instantaneous. Overall, our evidence highlights the important role of the pre-opening period in price discovery and the prospect of further enhancing this role by timing the release of public information to occur during non-trading hours.
Keywords: Price discovery; Overnight news announcements; Pre-opening period
JEL Classification: G14
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Liquidity Provision During Circuit Breakers and Extreme Market Movements
-
By William G. Christie, Shane A. Corwin, ...
-
Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?
By Paul Kupiec
-
Bubbles in Experimental Asset Markets: Irrational Exuberance No More
By Lucy F. Ackert, Narat Charupat, ...
-
Switching to a Temporary Call Auction in Times of High Uncertainty
By David Abad and Roberto Pascual
-
Price Limits: How Effective? Evidence from the Istanbul Stock Exchange
By Recep Bildik and Guzhan Gulay
-
By Yong H. Kim, José Yagüe, ...
-
On the Magnet Effect of Price Limits
By David Abad and Roberto Pascual