Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange
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...
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| Format: | Journal Article |
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J A I Press Inc.
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/25695 |
| _version_ | 1848751779706044416 |
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| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:58:09Z |
| format | Journal Article |
| id | curtin-20.500.11937-25695 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:58:09Z |
| publishDate | 2014 |
| publisher | J A I Press Inc. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-256952019-02-19T04:27:05Z Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange Smales, Lee News analytics Non-scheduled news events Stock market 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. 2014 Journal Article http://hdl.handle.net/20.500.11937/25695 10.1016/j.ribaf.2014.03.006 J A I Press Inc. fulltext |
| spellingShingle | News analytics Non-scheduled news events Stock market Smales, Lee Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange |
| title | Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange |
| title_full | Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange |
| title_fullStr | Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange |
| title_full_unstemmed | Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange |
| title_short | Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange |
| title_sort | non-scheduled news arrival and high-frequency stock market dynamics: evidence from the australian securities exchange |
| topic | News analytics Non-scheduled news events Stock market |
| url | http://hdl.handle.net/20.500.11937/25695 |