| 摘要(英) |
Nowadays the speed of information transmission is quicker. Traders in the market can immediately get the information with low cost, so the market is more efficient. In this thesis, we focus on more accurate time point and the impact of market. We use intraday trade and quote data in NYSE, AMEX and NASDAQ and the exact announcement time to examine the within-day pattern of the market reactions surrounding new products announcements.
According to our empirical result, we find that the new products announcement samples have informational content, and the market is efficient. The prices respond to new products announcements within ten minute of initial releases. There is a significant increase (about two or three times of original level) in trading intensity in event period, and an increase in buyer-initiated trades following event announcing. Traders who execute before the initial release make small but significant profit by trading during the new products announcements.
The new products announcements also change the level of information asymmetry, and the specialists, and other suppliers of liquidity will increase spreads and decrease depths to avoid possible loss. But we find that the change of spreads and depths recover to original level very quickly. |
| 參考文獻 |
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