Please use this identifier to cite or link to this item: https://doi.org/10.1007/BF01733767
Title: Announcement effects and market efficiency in a thin market: An empirical application to the Singapore equity market
Authors: Ariff, M. 
Finn, F.J.
Issue Date: 1989
Source: Ariff, M.,Finn, F.J. (1989). Announcement effects and market efficiency in a thin market: An empirical application to the Singapore equity market. Asia Pacific Journal of Management 6 (2) : 243-265. ScholarBank@NUS Repository. https://doi.org/10.1007/BF01733767
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. © 1989 School of Management National University of Singapore.
Source Title: Asia Pacific Journal of Management
URI: http://scholarbank.nus.edu.sg/handle/10635/45249
ISSN: 02174561
DOI: 10.1007/BF01733767
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