Abnormal Trading Volume Research Articles

Virtual Shareholder Meetings

We examine determinants and consequences of ‘virtual’ shareholder meetings (VSM). Using a pre-Covid sample of voluntary VSM adopters, we do not find that firms choose the virtual format to avoid shareholders’ scrutiny. VSM are more frequent among tech firms, and firms traditionally more engaged with shareholders, consistent with the stated objective to increase shareholder participation. Textual analysis of transcripts suggests that VSM are substantially shorter, are less likely to include a business presentation, and, when they do, such presentation is shorter and more generic. VSM are also more likely to exhibit no questions during the Q&A, but conditioned upon having a question, they exhibit the same number of questions and such questions are more negative in tone. The results are similar when using the forced adoption of VSM due to Covid for better identification, except that the properties of the business presentation do not change around such forced adoptions. This suggests that the less frequent, shorter, and more generic presentations among voluntary VSM adopters are a firm’s choice rather than a byproduct of the virtual format per se. Finally, in both samples (voluntary and forced VSM adopters) the virtual format does not appear to affect market-based proxies for the meeting’s information content (such as abnormal trading volume and absolute returns). Overall, VSM exhibit less activity on average, consistent with critics’ concerns, but such reduced activity does not appear to cause a loss in information content nor to reflect an attempt to avoid scrutiny.

Framing

We examine the impact of task-oriented speech (TOS) on market participants’ ability to process information, where TOS quantifies a more direct method of communication. Conference calls with greater TOS are associated with lower ex-post total and idiosyncratic volatility and abnormal trading volume, even after controlling for ex-ante implied volatility. TOS also impacts financial analysts: forecast error, magnitude of revisions, forecast dispersion and disagreement are lower during the subsequent quarter. Overall, greater use of TOS increases the ability of financial markets to effectively evaluate the information within an earnings conference call.

Analisis Efek Ramadhan Terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan Yang Masuk dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia Periode 2014-2018

This study is a study of events aimed at knowing the effects of Ramadhan, to companies listed on the Jakarta Islamic Index on the Indonesia Stock Exchange period 2014-2018, using abnormal return and trading volume activity indicators. This study uses secondary data in the form of daily stock price index for the period 2014-2018 , Composite Stock Price Index (IHSG) and trading volume, with the population of companies entering the Jakarta Islamic Index on The Indonesian Stock Exchange , The statistical test used to test the hypothesis is the normality test, and the paired sample t-test. Result of T-test on Abnormal Return between year 2014-2018 know that there is no significant influence between Ramadhan month to abnormal return from year 2014 until 2018. While for T-test on trading volume activity between year 2014 until 2018 know that only in 2014, 2015, and 2017, 2018 there are significant influence which means the market responds to the event. The result of the test of Ramadhan event has the information even though it does not happen in every year of the research period, this is because Ramadhan is a routine event occuring in Indonesia so investors have been able to predict how the stock movemonts in Indonesia Stock Exchange.

Pengumuman Perhitungan Baru Indeks LQ45 dan IDX30: Apakah Ada Reaksi pada Pasar Modal Indonesia?

This study discusses whether there an influence from the announcement of the newcalculation of LQ45 and IDX30 index. This study uses indicators of abnormal return, cumulative abnormal return, and trading volume activity as a measure of market reaction. The population of this study is the companies incorporated in the IDX30 index. The sampling method uses purposive sampling method and obtained sample of 20 companies.The window period in this study is 11 days. Statistical tests using paired sample t-test and Wilcoxon sign rank test. The results of this study indicate there are no differences in the average abnormal return and trading volume activity before and after the event. There are differences in cumulative abnormal returns before and after events. This shows that investors have anticipated the news and the market has adjusted to a new balance before the announcement of the new LQ45 and IDX30 index calculations officially applied.

5% Rule Disclosure and Stock Trading Volume : Evidence from Korea

Despite the fact that the implementation of 5% rule is widely recognized to enhance the transparency of capital market and fairness of corporate governance market, a few evidences present information effect of 5% rule. Using 7,088 non-financial firm-year observations listed on the Korea Stock Exchange from 2006 to 2012, we analyze the relation between trading volume and 5% rule disclosure. The results show that the daily and abnormal trading volume is increased when 5% rule disclosure is released. Moreover, the trading volume is significantly increased during cooling period. Specifically, trading volume is significantly greater when one day before cooling period or the expiration day of cooling period. We also find the information effect of firms with stable ownership structure before 5% rule disclosure is relatively smaller than the firms with unstable ownership structure with unstable ownership structure. These results imply that capital market participants use the information from 5% rule disclosure and reflect in their real economic decision.

Reaksi Pasar Modal Atas Kenaikan The Federal Funds Rate Pada Tanggal 26 September 2018

In the modern economic system, the role of the capital market is very important as a place where emiten and investors meet. Internal information and external information are needed by investors as a basis for consideration in investment decision making. By looking at the presence or absence of average abnormal returns and average trading volume activity around the event period, this study aims to examine the market reaction to the Federal Funds Rate increase on September 26, 2018. LQ45 is a stock index used as a sample in this study using a purposive sampling technique as a method in sample selection. This study uses one sample t-test, paired sample t-test, and Wilcoxon signed rank test as data analysis techniques. The finding of the significance of average trading volume activity around the event period indicates that the market reacted to the FFR increase on September 26, 2018. However, the results of the study showed no significance of average abnormal return around the event period. Keywords: event study, abnormal return, trading volume activity.
 Keywords : Event Study; Abnormal Return; Trading Volume Activity.

REAKSI PASAR MODAL INDONESIA TERHADAP KESEPAKATAN INVESTASI ANTARA PEMERINTAH INDONESIA DENGAN PEMERINTAH ARAB SAUDI

Penelitian ini merupakan studi peristiwa yang bertujuan untuk menganalisis perbedaan abnormal return dan trading volume activity saham-saham BEI secara keseluruhan sebelum dan setelah peristiwa politik yang terjadi di dalam negeri. Peristiwa yang menjadi objek pengamatan adalah pengumuman kesepakatan investasi antara pemerintah Indonesia dengan pemerintah Arab Saudi pada tanggal 01 Maret 2017 dengan menggunakan indikator abnormal return dan trading volume activity. Populasi dan sampel dalam penelitian ini adalah seluruh perusahaan yang terdaftar di BEI, yaitu 539 perusahaan. Data yang digunakan adalah data sekunder berupa harga saham penutupan harian, Indeks Harga Saham Gabungan (IHSG), volume perdagangan harian dan jumlah saham yang beredar mulai dari tanggal 01 Februari sampai dengan 29 Maret 2017. Uji statistik yang digunakan untuk menguji hipotesis adalah paired sample t-test. Hasil penelitian menunjukkan bahwa: (1). Kesepakatan investasi antara pemerintah Indonesia dengan pemerintah Arab Saudi berpengaruh positif tidak signifikan terhadap abnormal return keseluruhan saham BEI secara bersamaan untuk periode pengamatan hari ke 12, 11, 09 dan 01. (2). Kesepakatan investasi antara pemerintah Indonesia dengan pemerintah Arab Saudi juga berpengaruh positif tidak signifikan terhadap trading volume activity keseluruhan saham BEI secara bersamaan untuk periode pengamatan hari ke 19, 18 dan 12.

Google search based sentiment indexes

This study sought to confirm whether Internet search based data have the potential both to reveal populations’ underlying beliefs directly and to affect stock markets of countries – in this case, Portugal. Based on the Internet search volume of several queries related to household concerns, we constructed two Google-based sentiment measures – a Positive Sentiment Index and a Negative Sentiment Index – encompassing both positive and negative search terms. The results reveal that both measures are correlated with aggregate stock market returns, trading volume, and abnormal trading volume. Also, positive sentiment has a stronger impact on these stock market variables than negative sentiment. Further, the proposed sentiment measures are significantly useful when making short-term predictions of market returns and volume.

Online investment forum and the market response around earnings announcement in the Chinese stock markets

PurposeThis paper aims to study the following two questions. Do earnings announcements stimulate investors to participate in online discussions? Does online investment forum participation affect the market’s reaction to earnings news?Design/methodology/approachThe authors collect all the online posts, which were related to the internet service companies and posted in a Chinese financial forum, guba.eastmoney.com (Guba), during the period between June 30, 2008 and December 31, 2015. Multiple linear regression analysis is used to test the questions.FindingsThe study finds that the earnings announcements induce online discussion. In addition, before the earnings announcement, online posting activity does not affect earnings response coefficient but can weaken the positive association between the magnitude of the upcoming earnings surprise and abnormal trading volume. In contrast, after the earnings announcement, online forum participation can facilitate the incorporation of earnings surprise into the price.Originality/valueThis study contributes to the literature studying the impact of social media on market reaction to earnings news by providing evidence that the price discovery process can be affected by the online investment forum. Several policy implications are also provided.

The Index Effect Minute by Minute: Intraday Returns at NASDAQ-100 and MSCI U.S. Rebalancings

I use intraday data from 2013 to 2017 and a dataset of NASDAQ-100, MSCI USA and MSCI USA Small Cap Index constituent changes to investigate abnormal returns and trading volume around index rebalancings. The results show no pre-announcement speculation but a significantly positive (negative) post-announcement jump followed by an intraday drift for promotions (demotions). For small-cap changes, the post-announcement jump is smaller but abnormal returns with the same sign are also found on the rebalancing date and especially during the last 30 minutes of trading. Large-cap index changes have higher abnormal trading volume but much smaller abnormal returns on the rebalancing date. Consistent with the price pressure hypothesis, I find a reversal during the early trading hours on the day following the rebalancing date.

Disposition effect at the market level: evidence from Indian stock market

PurposeThe purpose of this paper is to test the disposition effect at market level and propose an appropriate reference point for testing disposition at market level.Design/methodology/approachThis is an empirical study conducted on 500 index stocks of NSE500 (National Stock Exchange). Winning and losing days for each stock are calculated using 52-week high and low prices as reference points. To test disposition effect, abnormal trading volumes of stocks are regressed on their percentage of winning (losing) days. Further using ANOVA, the difference between mean of percentage of winning (losing) days of high abnormal trading volume deciles and low abnormal trading volume deciles is tested.FindingsResults show that a stock’s abnormal trading volume is positively influenced by the percentage of winning days whereas percentage of losing days show no such effect. Findings are consistent even after controlling for volatility and liquidity. ANOVA results show the presence of high percentage of winning days in higher deciles of abnormal trading volumes and no such pattern in case of losing days confirms the presence of disposition effect. Further an ex post analysis indicates that disposition prone investors accumulate losses.Originality/valueThis is the first study, which proposes the use of 52-week high and low prices as reference points to test the market-level disposition effect. Findings of this study enhance the limited literature available on disposition effect in emerging markets by providing evidence from Indian stock markets.

Is the Sentiment in Corporate Annual Reports Informative? Evidence from Deep Learning

We use a novel text classification approach from deep learning to more accurately measure sentiment in a large sample of 10-Ks. In contrast to most prior literature, we find that positive, and negative, sentiment predicts abnormal return and abnormal trading volume around 10-K filing date and future firm fundamentals and policies. Our results suggest that the qualitative information contained in corporate annual reports is richer than previously found. Both positive and negative sentiments are informative when measured accurately, but they do not have symmetric implications, suggesting that a net sentiment measure advocated by prior studies would be less informative.

Effects of limited attention on investors' trading behavior: Evidence from online ranking data

In this study, we provide empirical evidence that investors' limited attention affects security prices and trading volume in the short run. Using a unique dataset that was hand-collected from an Internet portal in Korea, we directly measure investor attention on individual stocks based on the rank information of the top 30 most frequently discussed stocks on the online stock message board. Investor attention is associated with significant increases in abnormal trading volume on the day that a stock is actively discussed online. Interestingly, less sophisticated individual investors continue buying more attention-grabbing stocks for a week after the active discussions of those stocks. Regarding stock return performance, whether investors are attentive to a stock significantly predicts next-day stock performance. However, the effect of attention on the stock returns is short-lived and disappears within two days, implying that the increase in stock prices is related to a behavioral bias rather than fundamental information.

Reaksi Pasar Terhadap Kenaikan Bank Indonesia 7-Day Reverse Repo Rate Tanggal 15 Agustus 2018

This study aims to examine the information content by explaining at the market reaction to the announcement of the 7-Day Reverse Repo Rate BI increase on August 15 2018 as measured by the abnormal return and trading volume activity. This research is an event study with an observation period of 7 exchange workdays, namely three days before (t-3), event date (t0), and three days after the event (t + 3). The sample is a company incorporated in the LQ45 Index for the period of August 2018 to January 2019. The method of determining the sample is a purposive sampling technique. The data analysis technique uses paired samples t-test and Wilcoxon signed rank test. The results showed a difference in average abnormal return and average trading volume activity before and after a 7-Day Reverse Repo Rate BI increase on August 15, 2018. This indicates that the event has information content.
 Keywords: Event study, abnormal return, trading volume activity

THE EX-DIVIDEND-DAY BEHAVIOR OF STOCK PRICES AND VOLUME: THE CASE OF PHARMACEUTICAL DIVIDEND ARISTOCRATS

This paper presents the wide analysis of the profitability factors of dividend capture strategy on public pharmaceutical companies within a five-year period after the global financial crisis 2008. We investigate the abnormal return and trading volumes with event study, and the effect of price changes around the ex-dividend date under the influence of various factors. Our findings suggest that there are no abnormal trading volumes on both the [Formula: see text] day of the event window and the day of the event on a subsample of companies that do not declare a dividend before the register close date. We confirm the negative stock yield on the ex-dividend day in most markets. We further confirm the tax hypothesis explaining the behavior of the share price and note the specific behavior of stock prices in the ex-dividend date for companies that do not disclose information on future payments (Japan and South Korea) and on emerging markets. The positive average cumulative abnormal return is statistically significant only for companies with a share of R&D/Total revenue [Formula: see text]3%. For companies with a value of more than 3%, the return is negative. An anomaly in the pharmaceutical stock market behavior in the ex-dividend date for 2016 is documented in our paper. A statistically significant price increase is registered both without taking into account the general market behavior, and taking into account market and individual expected return for each share of the sample. The cumulative abnormal returns are greater for pharma companies with a total enterprise value more than $1 billion, except for 2016.

Market reaction to optimistic bias in the recommendations of chaebol-affiliated analysts

Using the setting of chaebol industrial organizations in Korea, which allows for the study of a unique affiliation between a chaebol group and financial analysts, we examine whether investors react to an optimistic bias in affiliated analysts’ recommendations. Our initial market return tests, abnormal trading volume tests and independent analysts’ reaction tests suggest that investors and independent analysts recognize and discount an optimistic bias in chaebol-affiliated ‘buy’ recommendations. However, long-term market returns are more profitable in terms of affiliated analysts’ ‘buy’ recommendations than independent analysts’ recommendations, which suggests that investors excessively discount chaebol-affiliated ‘buy’ recommendations in the short-term.

Analisis Reaksi Pasar Atas Peristiwa Pilkada Serentak Tahun 2018

This study aims to determine market reaction in the event of simultaneous regional elections in 2018. This research is an event study with a period of observation for 7 days. The study was conducted on companies classified as LQ45 from February to July 2018. The population in this study was 45 companies. The method of determining the sample used is a non probability sampling method with a purposive sampling technique. The sample obtained was 37 companies. The market reaction to the 2018 simultaneous regional elections was measured using abnormal return and trading volume activity. The data analysis technique used is paired-sample t-test. The test results show that there is no difference in average abnormal return and trading volume activity before and after the events of simultaneous regional elections. This shows that simultaneous regional elections in 2018 did not cause market reaction because there was no information content on the event.
 Keywords: Event study, abnormal return, politics

Differential Interpretations and Earnings Quality

SYNOPSIS We investigate the association between earnings quality and investor disagreement regarding the valuation consequences of earnings announcements. A primary purpose of financial reporting, including periodic earnings releases, is to convey useful information to investors. However, earnings may be of low quality due to an inherent failure in the accounting process to accurately represent the economic entity, unintentional errors, or intentional manipulation on the part of management. We argue that low-quality earnings will be associated with more divergent opinions regarding the implication of the earnings signal (i.e., differential interpretations) and, thus, be reflected in their trading activity. We use two abnormal accrual measures and an earnings persistence measure as proxies for earnings quality. We proxy for differential interpretations using abnormal trading volume unrelated to returns and analyst forecast jumbling. Our results show that low earnings quality is associated with more differential interpretations of earnings announcements measures.

Market uncertainty and trading volume around earnings announcements

This study examines the changes in trading volume around quarterly earnings announcements in regard to market uncertainty. When market conditions are volatile, investors face difficulty in predicting future cash flows and their beliefs are more dispersed. Under this larger dispersion in prior beliefs, investors learn more from earnings news, but they are also likely to differ in their interpretations. This leads to increased trading volume around earnings announcements under high market uncertainty. I find that abnormal trading volume around the 2-day announcement window increase with market return volatility and the VIX index. The increase in trading volume is more pronounced for firms with more market-wide information and larger firms, which tend to have larger market earnings components.

Cryptocurrency, confirmatory bias and news readability – evidence from the largest Chinese cryptocurrency exchange

AbstractWe investigate whether Chinese cryptocurrency investors show confirmatory bias when processing authority‐related news. Authority‐related news is defined as news that is related to government authority (including central bank) policies or talk. By using data from the largest cryptocurrency exchange in China, we find that investors’ response to authority‐related news is negative and significant in general. Moreover, we find that the abnormal trading volume and standard deviation of abnormal trading volume are significantly higher for authority‐related news with higher readability, suggesting investors respond to the more readable authority‐related news with more trading behaviour.