The impact of salient political and economic news on the trading activity |
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| Institution: | 1. Department of Sports Medical, The First Affiliated Hospital of Shenzhen University (Shenzhen Second People Hospital), Shenzhen 518000, PR China;2. Biomechanics and Medical Information Institute, Beijing University of Technology, Beijing 100022, PR China;1. Department of Mathematics, Stockholm University, Roslagsvagen 101, SE-10691 Stockholm, Sweden;2. Department of Statistics and Operations Research, University of Vienna as well as Center for Financial Studies (CFS), Frankfurt, Germany |
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| Abstract: | This paper investigates the impact of salient political and economic news on the intraday trading activity, namely, the stock return volatility, the stock price volatility, the number of shares traded, and the trading frequency. Using transactions data on 33 constituent stocks of the Hang Seng Index in the Stock Exchange of Hong Kong (SEHK), we find that political news has a distinct impact on market activity when compared with economic news. We argue that the observed phenomenon is related to the precision of signals associated with these two types of news and investors' perceptual biases. |
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