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 types display abnormal order flow behaviour before the release of the announcement document. Similarly, order flow subsequent to a market sensitive announcement exhibits abnormal behaviour. Absolute share price change surrounding market sensitive announcements is also significantly larger than at other times. The added time delay between trades is harder to interpret because of the interposition of the trading halt itself.
