The Minimum, maximum, average and standard deviation for the price, bid-ask spread and trade size (volume) are computed and shown in Table 1. Overall for both the trading days, 13 March 2003 and 14 March 2003, it was observed that the price fell immensely from $14.5 to 22.83 due to the earnings announcement late on March 13. Also visible is the change in volume size, with a 50,000 trade maximum and a 100 trade minimum which suggest a significant increase in volatility that led to traders either buying or selling their current positions. The bid and ask price also showed considerable change further demonstrating the incredible impact of the announcement on the trading of Consolidated Graphics. | Price ($) | Volume (size) | Bid Price ($) | Ask Price ($) | Min | 14.5 | 100 | 14.49 | 14.51 | Max | 22.83 | 50000 | 22.83 | 22.85 | Average | 16.66 | 644.90 | 16.62 | 16.71 | Standard deviation | 2.79 | 2508.15 | 2.81 | 2.78 |
Table 1: Min, Max, Avg and Deviation of trade quote and price data
Table 2 and Table 3 show the volatility of each measure for two different days. March 14 prices were clearly affected by the earnings announcement on March 13. Diluted earnings per share were expected to be between $.11 and $.15 for the quarter compared to $.42 per share the last quarter. Revenue in March was also expected to decline by 10% from the December quarter to approximately $168 million, which creates an even more dismal outlook for Consolidated Graphics. After this announcement, the average price for the day went from $22.82 on March 13 to $15.40 on March 14, and price volatility sharply increased from 0.05 to a whopping 0.39. Inherently, the trade volume significantly increased and became much more volatile, along with a much more volatile and decreased bid and offer price. The increased standard deviations on March 14 of the price, size, bid and offer suggest an exponentially more volatile stock with a much further spread between their minimum and maximum price values for the day.
13 March Volatility | | | | | Price ($) | Volume (size) | Bid Price ($) | Ask Price ($) | Standard Deviation | 0.05 | 757.19 | 0.06 | 0.04 |
Table 2: Volatility of different measures on 13 March 14 March Volatility | | | | | Price ($) | Volume (size) | Bid Price ($) | Ask Price ($) | Standard Deviation | 0.39 | 2758.39 | 0.38 | 0.39 |
Table 3: Volatility of different measures on 14 March
As can be seen from Table 4, the return between March 13 day’s close and March 14 day’s open is -26.99%. The maximum return for 13 March was a -0.48% during the last 30 minutes of the trading day during which the earnings announcement was made. The maximum return for 14 March turned out to be -5.71% which occurred during the starting hours of the trading day. These two events signify that the announcement was detrimental for the company and more investors were looking to close out their position due to anticipation of the falling of prices from the weak earnings report. The minimum returns for both the days were 0.0% which occurred at the start of March 13 and end of March 14. Also can be observed from the Table 4, the market initially over-reacted to the news and the prices fell by a huge amount but later tried to correct itself towards the end of the day. 30 Minutes Return for CGX stock | 13-Mar-03 | 14-Mar-03 | 9:30-10:00 am | 0% | 10:30-11:00 am | -5.71% | 10:10-10:40 am | -0.13% | 10:30-11:00 am | -5.71% | 10:40-11:20 am | -0.40% | 11:00-11:30 am | 0.91% | 11:20-12:10 pm | 0.22% | 11:30-12:00 pm | -0.58% | 12:10-12:40 pm | 0.04% | 12:00-12:30 pm | -1.23 | 12:40-1:20 pm | -0.35% | 12:30-1:00 pm | -0.39% | 1:20-1:40 pm | -0.44% | 1:00-1:30 pm | -0.33% | 1:40-2:30 pm | -0.44% | 1:30-2:00 pm | 0.26% | 2:30-3:00 pm | -0.44% | 2:00-2:30 pm | -1.05% | 3:00-3:30 pm | -0.44% | 2:30-3:00 pm | 1.39% | 3:30-4:00 pm | -0.48% | 3:00-3:30 pm | 0.98% | | | 3:30-4:00 pm…