Reaction to non-scheduled News During Financial Crisis: Australian Evidence
MetadataShow full item record
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>
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.
Showing items related by title, author, creator and subject.
“A content analysis of news media coverage of drowning events in Western Australia over two summers, 2014-2016”Leavy, Justine ; Jancey, Jonine ; Hall, C.; Nimmo, L.; Crawford, Gemma (2019)© 2019 Australian Health Promotion Association Issue addressed: Drowning is a leading cause of death globally. Opportunities to promote drowning prevention in news media may be overlooked for attention-grabbing headlines, ...
I saw it in in the news today: a content analysis of drowning in Western Australian news media over two summersLeavy, Justine; Crawford, G.; Della Bona, M.; Nimmo, L.; Jancey, J. (2018)Fatal drowning events are often reported in news media. In Australia news articles are a key source of health information. Media exposure has been shown to influence people’s health behaviours and helps to set the public ...
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 ...