Reaction to non-scheduled 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 financia...
| Main Author: | |
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| Format: | Journal Article |
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Routledge
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/12208 |
| _version_ | 1848748014317862912 |
|---|---|
| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T06:58:18Z |
| format | Journal Article |
| id | curtin-20.500.11937-12208 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T06:58:18Z |
| publishDate | 2014 |
| publisher | Routledge |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-122082017-09-13T14:59:51Z Reaction to non-scheduled News During Financial Crisis: Australian Evidence Smales, Lee news analytics ASX VAR-GARCH stock market nonscheduled news 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. 2014 Journal Article http://hdl.handle.net/20.500.11937/12208 10.1080/13504851.2014.920465 Routledge fulltext |
| spellingShingle | news analytics ASX VAR-GARCH stock market nonscheduled news Smales, Lee Reaction to non-scheduled News During Financial Crisis: Australian Evidence |
| title | Reaction to non-scheduled News During Financial Crisis: Australian Evidence |
| title_full | Reaction to non-scheduled News During Financial Crisis: Australian Evidence |
| title_fullStr | Reaction to non-scheduled News During Financial Crisis: Australian Evidence |
| title_full_unstemmed | Reaction to non-scheduled News During Financial Crisis: Australian Evidence |
| title_short | Reaction to non-scheduled News During Financial Crisis: Australian Evidence |
| title_sort | reaction to non-scheduled news during financial crisis: australian evidence |
| topic | news analytics ASX VAR-GARCH stock market nonscheduled news |
| url | http://hdl.handle.net/20.500.11937/12208 |