test if these abnormal return variances are normally distributed a Kolmogorov-Smirnov test is performed. This test is used to examine the distribution of Xit at the (-1,0) event date compared with the surrounding two-day trading periods. At the end a Spearman rank correlation test is performed. This test investigates if there is a correlation between the average abnormal return variances (Xit) of the announcing firms and the Xit values of the non-announcing firms, both in the (-1,0) event window. If the results of the Spearman rank correlation test are significant this implies that intra-industry information transfer occurs and that one determinant of their magnitude is the impact of the announcing firm’s release on its own share price. The Kolmogorov-Smirnov test and the Spearman rank correlation test are further described in the next chapter, where the results of this study are presented. Summary In this chapter the methodology used to measure intra-industry information transfer is described. First a datastream event study is performed for both the ‘announcing’ group of firms and the ‘non-announcing’ group of firms. The abnormal return values derived from the event study are then used to calculate the abnormal return variance. This is the amount of abnormal return surrounding the announcement date compared to the abnormal return in periods. A higher abnormal return variance indicates greater intra-industry information transfer. These abnormal return variances are categorized in the non-directional test. The results of the non-directional test contain the average abnormal return variances calculated for the event window (-1,0) and the surrounding estimation windows ranging from (-11,-10) till (9,10). These average abnormal return variances are tested on normality by performing a Kolmogorov-Smirnov test. At the end a Spearman rank correlation between the average abnormal return variances of the ‘announcing’ group of firms and the ‘non-announcing’ group of firms is performed. These test captures correlations in the abnormal returns of securities in the same industry (Foster, 1981). Results of these tests are discussed in the following chapter. Results Introduction In this section the results of the non-directional test are presented. The sample of this study consists of two parts. I consider the period 2001-2004 as the pre-IFRS period and the years 2005 till 2010 are considered as the post-IFRS period. To test if the magnitude of intra-industry information transfer has
test if these abnormal return variances are normally distributed a Kolmogorov-Smirnov test is performed. This test is used to examine the distribution of Xit at the (-1,0) event date compared with the surrounding two-day trading periods. At the end a Spearman rank correlation test is performed. This test investigates if there is a correlation between the average abnormal return variances (Xit) of the announcing firms and the Xit values of the non-announcing firms, both in the (-1,0) event window. If the results of the Spearman rank correlation test are significant this implies that intra-industry information transfer occurs and that one determinant of their magnitude is the impact of the announcing firm’s release on its own share price. The Kolmogorov-Smirnov test and the Spearman rank correlation test are further described in the next chapter, where the results of this study are presented. Summary In this chapter the methodology used to measure intra-industry information transfer is described. First a datastream event study is performed for both the ‘announcing’ group of firms and the ‘non-announcing’ group of firms. The abnormal return values derived from the event study are then used to calculate the abnormal return variance. This is the amount of abnormal return surrounding the announcement date compared to the abnormal return in periods. A higher abnormal return variance indicates greater intra-industry information transfer. These abnormal return variances are categorized in the non-directional test. The results of the non-directional test contain the average abnormal return variances calculated for the event window (-1,0) and the surrounding estimation windows ranging from (-11,-10) till (9,10). These average abnormal return variances are tested on normality by performing a Kolmogorov-Smirnov test. At the end a Spearman rank correlation between the average abnormal return variances of the ‘announcing’ group of firms and the ‘non-announcing’ group of firms is performed. These test captures correlations in the abnormal returns of securities in the same industry (Foster, 1981). Results of these tests are discussed in the following chapter. Results Introduction In this section the results of the non-directional test are presented. The sample of this study consists of two parts. I consider the period 2001-2004 as the pre-IFRS period and the years 2005 till 2010 are considered as the post-IFRS period. To test if the magnitude of intra-industry information transfer has