Intraday Relationship Between Market Activity And Public Announcements

Alexis Cellier and Waël Louhichi
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Waël Louhichi: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper aims to study the relationship between public information arrival and Euronext Paris intraday activity. The information flow is measured as the number of news items recorded by Reuters and conditional volatility is modeled by an EGARCH process. Our results reveal a strong positive relationship between public information flow and trading volume and a moderate positive relation between stock returns volatility and the information flow. These results are available for the CAC40 Index as well as for individual stocks and are robust even after controlling for the impact of the intraday patterns.

Keywords: Information flow; conditional volatility; trading volume; market microstructure; intraday analysis; EGARCH (search for similar items in EconPapers)
Date: 2011
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Published in Journal of Applied Business Research, 2011, 27 (3), pp.55-70

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00601418

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