Announcement effects and market efficiency in a thin market: An empirical application to the Singapore equity market

Abstract

Studies of share price responses to public announcements have assumed that there is no serious thinness in trading. This paper reports the findings of a study of price responses of thinly-traded shares in the Singapore equity market. With appropriate methodological refinements for thinness in trading, the announcement effects of earnings, dividends and capitalisation changes are studied. The results suggest that there are statistically significant abnormal returns during the months up to and including the month of announcement. With some minor exceptions, there appears to be no significant abnormal returns during the months after the announcements: semi-strong form efficiency is thus observed. These results are consistent with prior findings in the developed capital markets.

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The authors wish to thank the anonymous reviewers for their useful suggestions. This paper has benefitted from financial assistance of the Department of Commerce of the University of Queensland.

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Ariff, M., Finn, F.J. Announcement effects and market efficiency in a thin market: An empirical application to the Singapore equity market. Asia Pacific J Manage 6, 243–265 (1989). https://doi.org/10.1007/BF01733767

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Keywords

  • Capital Market
  • Abnormal Return
  • Equity Market
  • Share Price
  • Empirical Application