Discovery Projects - Grant ID: DP0449995

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0449995

Funding Status
Closed

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Funded Activity Summary

How do company announcements affect trading frequency in stocks? 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.

Funded Activity Details

Start Date: 01-01-2004

End Date: 30-04-2009

Funding Scheme: Discovery Projects

Funding Amount: $127,294.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Financial Econometrics | Econometric And Statistical Methods | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Microeconomic issues not elsewhere classified | Economic issues not elsewhere classified |

Other Keywords

Banking, Finance and Investment | Econometric And Statistical Methods | Economic issues not elsewhere classified | Financial Econometrics | Microeconomic issues not elsewhere classified

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