The impact of company responses to exchange queries on the Australian equity market

This study examines the impact of company responses to trading-induced queries made by the Australian Securities Exchange over the period January 2007-December 2008, inclusive. We utilise event study methodology and a matched sample approach to assess the impact of trading query announcements. We use multivariate analysis to investigate any cross-sectional determinants affecting abnormal returns and volume, and find significant positive shareholder wealth and volume effects associated with query announcements. Further, the unexplained abnormal returns observed prior to the announcement of the trading query persist post-announcement. Subsequent analysis reveals the industry effect reported in the literature loses significance after accounting for sample selection bias.