ScholarWorks@중앙대학교

초록

Fair disclosure is a policy that prohibits internal employees from disclosing sensitive information about the company to only certain external parties. However, if the actual sharing of information and fair disclosure take place on the same day, the daily data employed in the existing event study has limits in identifying such instances. To put it another way, in order to differentiate leaks prior to a fair disclosure, researchers must employ intraday data that can be analyzed in the brief period before and after the revelation. Researchers may also use the intraday data to see how current high-frequency and algorithm trading has mirrored information in the stock market. As a result, using the event study approach, this study evaluates the real-time response of cumulative abnormal return of each investor and order imbalance in the stock market in response to the fair disclosure and subsequent news release. As an event of interest, we examine the real-time response of the stock market, which includes the dividend plan disclosure and the first news throughout the day after the disclosure. We look at 48 disclosures and 31 news stories from January 2018 to July 2021We use the event study methodology to analyze the stock market response, and we use the market adjusted model to determine the cumulative abnormal return. For a total of 21 minutes, the event period is set at 10 minutes before and after the event of interest. We also look at how the stock market responds to changes in investment trading activity. We classify investors into three categories: institutions, individuals, and foreign investors, then calculate the order imbalance to determine the buy or sell intensity. The cumulative abnormal return before disclosure tends to reduce somewhat as a consequence of the analysis, but after soaring and overreacting at the same time as the disclosure, the cumulative abnormal return decreases slightly to find the equilibrium price. This response establishes a semi-strong efficient market hypothesis. Although there is no movement in the cumulative abnormal return before the news release, the cumulative abnormal return continuously climbs until 5 minutes after the news is revealed, following which it declines. The weak-form efficient market hypothesis is demonstrated by this reaction. These findings suggest that the market reacts strongly, and some investors trade based on secondary point information rather than initial information. Individual investors have a long position in terms of trading volume, while foreign investors have a short position. Individuals and foreigners have been trading predominantly since the news announcement, however, unlike fair disclosure, two categories of investors wait and trade for two minutes, then reverse their long and short positions after five minutes. After a fair disclosure and news release, the institutions indicate a weak order imbalance in trading. The following are some of the implications of this research. First, using intraday data and the event study approach, we show how stock prices fluctuate in real-time in response to disclosure and news. Second, we thoroughly examine the stock market reaction in light of the news article that follows the fair disclosure. This chart depicts how the market reacted to a similar occurrence. Third, in addition to the cumulative abnormal return, we look at the trading volume of investors. By assessing the difference in order imbalance, this research reveals how trading positions change dynamically in response to fair disclosure and news releases.

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