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Intraday price reaction to filing bankruptcy and restructuring proceedings – the evidence from Poland
Abstract
This chapter presents the results of research on the price reaction of shares listed on the Warsaw Stock Exchange to filing bankruptcy and/or restructuring applications. Event study was adopted as the research method, and it was performed at 10, 5, and 1-minute intervals. It was found that the reaction is rapid, as it takes 1–2 minutes after the information on bankruptcy and restructuring applications was made public. Significantly higher negative above-average rates of return were obtained when information on bankruptcy applications was made public. Moreover, the stock price response was more sudden when the information was made publicly outside the trading session. In general, this confirms that the functioning of the Electronic System for Information Transmission (ESPI) in Poland reduces the asymmetry of information between investors and contributes to an increase of market efficiency. However, the conducted research also showed that there is a time gap of 7 minutes on average on the market between the submission of information about the application and the reaction of investors to such information. It may be used by investors who, using automated trading systems, will take a short position on the relevant assets in advance of traditional investors.
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- Publication version
- Accepted or Published Version
- DOI:
- Digital Object Identifier (open in new tab) 10.4324/9781003199076
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- Category:
- Monographic publication
- Type:
- rozdział, artykuł w książce - dziele zbiorowym /podręczniku w języku o zasięgu międzynarodowym
- Language:
- English
- Publication year:
- 2021
- Bibliographic description:
- Prusak B., Potrykus M.: Intraday price reaction to filing bankruptcy and restructuring proceedings – the evidence from Poland// The Digital Disruption of Financial Services. International Perspectives/ : , 2021, s.141-164
- DOI:
- Digital Object Identifier (open in new tab) 10.4324/9781003199076
- Verified by:
- Gdańsk University of Technology
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