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Market Microstructure And Abnormal Returns: An Analysis Of Nyse And Sgx Securities, Alex Ng
Market Microstructure And Abnormal Returns: An Analysis Of Nyse And Sgx Securities, Alex Ng
Honors Theses
This paper investigates the differences in the abnormal returns of securities in the context of the earnings announcement in both the United States (NYSE) and Singapore (SGX) markets[1]. Despite the similarities between both exchanges, there exist two key market microstructure differences: the free float factor (i.e. the portion of listed share capital that is freely traded on the market) and lot size (i.e. the minimum number of shares that an investor can trade in a single transaction). While the difference in the lot size can be attributed to the intrinsic institutional differences between both exchanges, the involvement of …