Scheduled macroeconomic news announcements and intraday market sentiment |
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| Affiliation: | 1. Department of Mathematics/Actuarial Science, Sungkyunkwan University, Seoul, Republic of Korea;2. Department of Economics, Sungkyunkwan University, Seoul, Republic of Korea;3. Korea Fiscal Information Service, Seoul, Republic of Korea;1. College of Economics, Sungkyunkwan University, Seoul, Republic of Korea;2. McIntire School of Commerce, University of Virginia, Charlottesville, USA |
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| Abstract: | We analyze the effects of scheduled macroeconomic news on intraday and daily market sentiment by comparing sentiment on news announcement dates with that on non-announcement dates. Announcements of macroeconomic indicators change neither intraday nor daily market sentiment. However, the directions of the announced values have asymmetric effects on intraday market sentiment, although they do not affect daily market sentiment. For example, an announcement of an increase in the gross domestic product (GDP) reduces short-term intraday market sentiment, whereas an announcement of a decrease in GDP does not significantly affect intraday market sentiment. We also find that the effect of intraday market sentiment on short-term market returns is greater following announcements of macroeconomic indicators that significantly affect intraday market sentiment. |
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| Keywords: | Behavioral finance Intraday market sentiment Macroeconomic news High-frequency data Stock market reaction |
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