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Market reaction to takeover rumour in Internet Discussion Sites

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  • Peter M. Clarkson
  • Daniel Joyce
  • Irene Tutticci

Abstract

We examine the market reaction to takeover rumour postings in the Hotcopper Internet Discussion Site (IDS). Results from the interday analysis show abnormal returns and trading volumes on the day before and the day of the posting. Results of the intraday analysis show abnormal returns and trading volumes during the 10 min posting interval and abnormal trading volume during the 10 min interval immediately preceding it. Sensitivity analyses indicate that the results are robust to concerns regarding potential confounds, credibility and bid–ask spread bias. Taken together, these findings are consistent with the market reacting to the posting of takeover rumours in IDS.

Suggested Citation

  • Peter M. Clarkson & Daniel Joyce & Irene Tutticci, 2006. "Market reaction to takeover rumour in Internet Discussion Sites," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(1), pages 31-52, March.
    • Handle: RePEc:bla:acctfi:v:46:y:2006:i:1:p:31-52
    DOI: 10.1111/j.1467-629X.2006.00160.x
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