How do company announcements affect trading frequency in stocks?

该项目通过调查公司公告如何影响澳大利亚银行股的交易模式来解决金融市场对新闻的反应问题。分析将基于自回归条件风险（ACH）模型的新扩展，研究重点是如何将公告变量纳入ACH框架，以及如何修改标准ACH分析以考虑同时交易，市场摩擦和溢出效应。这项研究的结果将有助于政府和公司在选择公告时间，帮助交易者在投资组合调整，并将导致更好地了解澳大利亚股票市场的微观结构。

This project addresses the question of how financial markets respond to news by investigating how company announcements affect trading patterns in Australian banking stocks. Analysis will be based on new extensions to autoregressive conditional hazard (ACH) models, with research focussing on how to incorporate announcement variables into an ACH framework and how to modify standard ACH analysis to account for simultaneous transactions, market frictions and spillover effects. The results of this research will assist government and companies in choosing announcement times, aid traders in portfolio adjustment and will lead to a better understanding of the microstructure of Australian stock markets.