Reaction to nonscheduled news during financial crisis: Australian evidence
News analytics software applies linguistic algorithms to newswire releases in order to assign a sentiment score; this allows users to comprehend the unstructured data flowing through newswires. I examine the market reaction of leading Australian stocks to stock-specific news flow during the financial crisis of 2007-2009. A high-frequency VAR model with GARCH effects modelled through a VECH(1,1) specification is utilized. I find a significant market impact induced by contemporaneous news items, a significant and positive relationship between volume and volatility, an increase in bid-ask spreads following periods of increased volatility, and evidence of volatility persistence.
Year of publication: |
2014
|
---|---|
Authors: | Smales, L. A. |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 21.2014, 17, p. 1214-1220
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Reaction to nonscheduled news during financial crisis : Australian evidence
Smales, L. A., (2014)
-
Investor attention and global market returns during the COVID-19 crisis
Smales, L. A., (2021)
-
Geopolitical risk and volatility spillovers in oil and stock markets
Smales, L. A., (2021)
- More ...