Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange
Access Status
Authors
Date
2014Type
Metadata
Show full item recordCitation
Source Title
ISSN
School
Remarks
NOTICE: this is the author’s version of a work that wasaccepted for publication in the journal Research inInternational Business and Finance. Changes resulting fromthe publishing process, such as peer review, editing,corrections, structural formatting, and other quality controlmechanisms may not be reflected in this document. Changesmay have been made to this work since it was submitted forpublication. A definitive version was subsequently publishedin the journal Research in International Business and Finance,Vol.32, (2014). DOI: 10.1016/j.ribaf.2014.03.006
Collection
Abstract
An increasing number of market participants utilise news analytics software to comprehend the large amounts of unstructured data flowing through news-wires. Utilising original data from one such tool – Ravenpack – I examine the market reaction of leading Australian stocks to stock-specific news flow over an extended period. Unconditional analysis of key variables around 484,440 news items reveals distinct responses in market activity, volatility, bid-ask spreads and returns. The study confirms previous literature such that indicated relevance of news items is critical when identifying significant effects. In addition, the reaction of market activity, volatility and spreads is greatest for negative news. The findings are confirmed when controlling for market dynamics and cross-dependencies between variables in a high-frequency VAR model.
Related items
Showing items related by title, author, creator and subject.
-
Smales, Lee (2016)I examine the relationship between aggregate news sentiment, S&P 500 index (SPX) returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in ...
-
Lugmayr, Artur (2013)© Springer-Verlag Berlin Heidelberg 2013. Recently much attention has been paid on initial public offerings of social media companies, such as Facebook or Linkedln and how their owners become millionaires. However, this ...
-
Smales, Lee (2015)Utilizing firm-specific news sentiment data provided by Thomson Reuters News Analytics, I construct aggregate measures to examine the relationship between news sentiment and stock market returns over the period 2004–2010. ...