Author (Your Name)

Alex Ng, Colby CollegeFollow

Date of Award


Document Type

Honors Thesis (Open Access)


Colby College. Economics Dept.


Michael R. Donihue

Second Advisor

Linwood Downs

Third Advisor

Leonard Wolk


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 the sovereign wealth fund and other concentrated strategic investors might be the underlying reason for the comparatively lower free float characteristic of SGX-listed securities. Using a dataset obtained from a Bloomberg Terminal over a 10-year period, the abnormal returns during a two-day earnings announcement window will be examined for securities listed in both exchanges. The results suggest that market microstructure differences have an effect on the liquidity and abnormal returns of securities during the announcement period.

[1] The motivation for the comparison between the Singapore Stock Exchange (SGX) and New York Stock Exchange (NYSE) was born from my internship with the SGX, as it was the internal view for the exchange to strive towards becoming the New York Stock Exchange (NYSE) or London Stock Exchange (LSE) of Asia.


Market Microstructure, Free Float, Abnormal Returns, Earnings Announcements, Liquidity, Stock Exchanges