Non-scheduled news arrival and high-frequency stock market dynamics

Lee Smales

Research in International Business and Finance, 2014, vol. 32, issue C, 122-138

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.

Keywords: News analytics; Stock market; Non-scheduled news events (search for similar items in EconPapers)
JEL-codes: G02 G14 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:32:y:2014:i:c:p:122-138

DOI: 10.1016/j.ribaf.2014.03.006

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