EFFECT OF ACCOUNTING DISCLOSURE ON RETURNS OF SHARES IN THE ALGERIAN STOCK EXCHANGE : APPLICATION OF VAR MODEL

Abstract

ABSTRACT This paper aims to investigate the relation between annual document disclosure and the stock liquidity for companies listed on the Algeria stock market. VAR model was used to examine the impact of the market efficiency on stock prices of the companies during 2000 to 2015. The findings indicate that, there was no significant effect related to the timing of publication of financial information over a period of study on stock returns in the days around the publication days of annual financial statements; Accounting disclosure also affects, directly or indirectly, the decisions of investors ,as well as activating the stock market and increasing the movement of trading and stock prices with it The effect of disclosure becomes clear when the information is published late or inaccurate or excellent in its presentation and its failure to rely on agreed accounting principles and standards, or result in a negative impact on the behavior of the investor, This affects the degree of risk that he is willing to bear according to his circumstances. The timing of the financial information release depends on the basic environment in which Algerian institutions operate.