Reaction to non-scheduled News During Financial Crisis: Australian Evidence
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.
Citation
Source Title
ISSN
School
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>
Collection
Related items
Showing items related by title, author, creator and subject.
-
Smales, Lee (2016)This article seeks to consider the relationship between the sentiment of newswire messages for a set of major international banks and changes in two important credit measures; the LIBOR-OIS spread and the CDS spread. There ...
-
Bradley, Fiona (2003)This study examines the current situation of training provided to journalists by news librarians in the United States and Australia. The study examines the factors affecting the provision of training and the potential for ...
-
Poskitt, Russell; Wang, Y.; Marsden, A. (2011)Purpose – The purpose of this paper is to investigate the impact of the introduction of New Zealand's statutory-backed continuous disclosure regime enacted in December 2002 on the differential disclosure behaviour of New ...