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Public announcement induced market reactions on Baltic stock exchanges

Laivi Laidroo (Tallinn University of Technology, Tallinn, Estonia)

Baltic Journal of Management

ISSN: 1746-5265

Article publication date: 16 May 2008




The purpose of this paper is to determine to what extent economically significant stock return and volume changes on Tallinn, Riga and Vilnius Stock Exchanges (TSE, RSE, VSE) are contributable to public announcements disclosures and which types of announcements drive these.


Event‐study methodology was used to determine economically significant return and volume events.


It was found that 22‐37 per cent of return or volume events explained by public announcements was twice lower than reported in the UK. The greatest frequency of disclosures was attributable to financial disclosures as could be expected. Although, previous research indicates bigger magnitude of reaction to financial news, it was not observed in case of public announcements. Whereas, the magnitude of reactions on VSE was greater than reported on TSE and RSE, which indicates that VSE differs from TSE and RSE in its information processing.

Research limitations/implications

Firstly, all other mediums of disclosure besides public announcements are excluded. Secondly, the focus on public announcements discards all other factors that could induce market reactions. Thirdly, investors are assumed to act rationally.


The relative importance of different news items in inducing market reactions on the three Baltic stock exchanges has not been previously investigated. Only one previous study has covered a developed capital market of the UK, which means that this paper enables to compare its results to the ones achieved in a developing capital market setting.



Laidroo, L. (2008), "Public announcement induced market reactions on Baltic stock exchanges", Baltic Journal of Management, Vol. 3 No. 2, pp. 174-192.



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Copyright © 2008, Emerald Group Publishing Limited

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