Public and private information: Lessons from the emerging Tunisian stock market

Tissaoui, Kais; Aloui, Chaker

doi:10.1080/17509653.2013.858898

Cited by 1 publication

(1 citation statement)

References 57 publications

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“…4 The authors argued that order imbalances could partially explain the block trades, although this was not conclusively proven in the study. Tissaoui and Aloui (2014) empirically tested the relationship between block trades and order imbalances and its resulting effect on return volatility. A positive relationship was found between order imbalance and return volatility caused by abnormal returns generated during times of no public information release, indicating that private information was being utilised by blockholders.…”

Section: Private Information Proxiesmentioning

confidence: 99%

Examination of information release on return volatility: A market and sectoral analysis

Prasad

Bakry

Varua

2020

Heliyon

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This paper examines the role of information release in explaining the return volatility of the Australian equity market. The study applies proxies of greater accuracy to examine the effect of public and private information on return volatility. Analyst price targets (PTR) and Morningstar stock star ratings (MSR) were used as private information proxies while Australian Securities Exchange (ASX) announcements were used as the public information proxy. Daily data was collected for ASX 200 listed firms for the period 2013 to 2017. Analysis was conducted at both the aggregate market level and the sectoral level. Findings suggest that PTR have the largest effect on return volatility at both levels, with varied effects within each sector. This indicates that investors rely heavily on this information when undertaking investment decisions. In contrast, MSR had a negligible effect, likely due to the lower degree of informational content. Public information had a minor effect on return volatility at both the aggregate market and sectoral levels. These mixed results show that information flow varies depending on the information type (i.e. public or private) with each sector interpreting the same type of information differently. The research findings provide a valuable guide to investors regarding the appropriate information to generate excess returns as well as to hedge against future losses.

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Section: Private Information Proxiesmentioning

confidence: 99%