News Arrival and Stock Market Trading: An Investigation of Investor Reactions to Information

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The Australian Stock Exchange (ASX) is an important vehicle for attracting a large amount of capital into Australia and hence its efficiency, transparency and orderliness are important to induce even more active stock market participation from local investors, and to make the ASX more competitive against other investment destinations such as Tokyo, Hong Kong, Singapore and Shanghai. This project will provide evidence that can promote better understanding of the impact of information flows on volatility, price discovery and trading activity. Using data that include ASX-mandated information releases, the results of this project will be highly useful and relevant to the ASX in its quest to become a more efficient stock market.