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dc.contributor.authorSmales, Lee
dc.identifier.citationSmales, L. 2014. Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange. Research in International Business and Finance. 32: pp. 122-138.

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.

dc.publisherJ A I Press Inc.
dc.subjectNews analytics
dc.subjectNon-scheduled news events
dc.subjectStock market
dc.titleNon-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange
dc.typeJournal Article
dcterms.source.titleResearch in International Business and Finance

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

curtin.departmentSchool of Economics and Finance
curtin.accessStatusOpen access

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