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    Reaction to non-scheduled News During Financial Crisis: Australian Evidence

    200618_200618.pdf (400.2Kb)
    Access Status
    Open access
    Authors
    Smales, Lee
    Date
    2014
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Smales, L. 2014. Reaction to non-scheduled News During Financial Crisis: Australian Evidence. Applied Economics Letters. 21 (17): pp. 1214-1220.
    Source Title
    Applied Economics Letters
    DOI
    10.1080/13504851.2014.920465
    ISSN
    1350-4851
    School
    School of Economics and Finance
    Remarks

    This is an Author's Accepted Manuscript of an article published in the Applied Economics Letters 2014, copyright Taylor & Francis, available online at: <a href="http://www.tandfonline.com/10.1080/13504851.2014.920465">http://www.tandfonline.com/10.1080/13504851.2014.920465</a>

    URI
    http://hdl.handle.net/20.500.11937/12208
    Collection
    • Curtin Research Publications
    Abstract

    News analytics software applies linguistic algorithms to newswire releases in order to assign a sentiment score; this allows users to comprehend the unstructured data flowing through newswires. I examine the market reaction of leading Australian stocks to stock-specific news flow during the financial crisis of 2007–2009. A high-frequency VAR model with GARCH effects modelled through a VECH(1,1) specification is utilized. I find a significant market impact induced by contemporaneous news items, a significant and positive relationship between volume and volatility, an increase in bid–ask spreads following periods of increased volatility, and evidence of volatility persistence.

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