Initial Investigations of Intra-Day News Flow of S&P500 Constituents

Jim Kyung-Soo Liew and Zhechao Zhou
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Jim Kyung-Soo Liew: Finance Department, The Johns Hopkins Carey Business School Baltimore, MD 21202, USA
Zhechao Zhou: Investment Technology Group, Inc., New York, NY 10006, USA

Risks, 2014, vol. 2, issue 2, 1-14

Abstract: In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label “Jam-the-Close”: The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of news sentiment releases. This finding is robust across years and months of the year. Next, upon further investigations we found that the “novelty” score is on average 0.67 in this period vs . 2.09 prior to midday. This indicates that “new” news is flowing at a rapid pace prior to the close. Finally, we discuss the implication of such phenomena in the context of existing financial literature.

Keywords: TRNA; news sentiments; intra-day prices; S&P500 (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2014
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