Non-scheduled news arrival and high-frequency stock market dynamics: Evidence from the Australian Securities Exchange |
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| Institution: | 1. Department of Accounting & Finance, University of Cyprus, P.O. Box 20537, Nicosia, Cyprus;2. Department of Accounting & Finance, Athens University of Economics & Business, 76 Patission street, 10434, Athens, Greece;1. School of Economics, Zhejiang University, China;2. School of Economics and Academy of Financial Research, Zhejiang University, China;1. Finance Discipline, The University of Sydney Business School 2006, Australia;2. Macquarie Graduate School of Management, Australia |
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| 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. |
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| Keywords: | News analytics Stock market Non-scheduled news events |
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