The impact of non-scheduled news on S&P/ASX50 stocks
With the large increase in the availability of news, growing numbers of financial market participants are relying on analytics software to evaluate news events. This paper explores whether indicators processed by analytics software are effective in assigning sentiment, and whether it is possible tot...
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| Format: | Journal Article |
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Financial Services Institute of Australasia (Finsia)
2014
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| Online Access: | http://www.finsia.com/docs/default-source/jassa-new/jassa-2014/jassa-2014-issue-2/the-impact-of-non-scheduled-news-on-s-p-asx-50-stocks.pdf?sfvrsn=7 http://hdl.handle.net/20.500.11937/32466 |
| _version_ | 1848753671257456640 |
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| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | With the large increase in the availability of news, growing numbers of financial market participants are relying on analytics software to evaluate news events. This paper explores whether indicators processed by analytics software are effective in assigning sentiment, and whether it is possible totrade profitably using such measures. Based on a sample of 33 highly liquid S&P/ASX 50 stocks, the results indicate that while the sentiment indicators correctly classify news, it is unlikely that trading strategies with time horizons of 30 seconds or more (and even moderate transaction costs) will produce statistically significant abnormal returns. |
| first_indexed | 2025-11-14T08:28:13Z |
| format | Journal Article |
| id | curtin-20.500.11937-32466 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:28:13Z |
| publishDate | 2014 |
| publisher | Financial Services Institute of Australasia (Finsia) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-324662017-01-30T13:31:08Z The impact of non-scheduled news on S&P/ASX50 stocks Smales, Lee sentiment analytics software S&P/ASX 50 With the large increase in the availability of news, growing numbers of financial market participants are relying on analytics software to evaluate news events. This paper explores whether indicators processed by analytics software are effective in assigning sentiment, and whether it is possible totrade profitably using such measures. Based on a sample of 33 highly liquid S&P/ASX 50 stocks, the results indicate that while the sentiment indicators correctly classify news, it is unlikely that trading strategies with time horizons of 30 seconds or more (and even moderate transaction costs) will produce statistically significant abnormal returns. 2014 Journal Article http://hdl.handle.net/20.500.11937/32466 http://www.finsia.com/docs/default-source/jassa-new/jassa-2014/jassa-2014-issue-2/the-impact-of-non-scheduled-news-on-s-p-asx-50-stocks.pdf?sfvrsn=7 Financial Services Institute of Australasia (Finsia) restricted |
| spellingShingle | sentiment analytics software S&P/ASX 50 Smales, Lee The impact of non-scheduled news on S&P/ASX50 stocks |
| title | The impact of non-scheduled news on S&P/ASX50 stocks |
| title_full | The impact of non-scheduled news on S&P/ASX50 stocks |
| title_fullStr | The impact of non-scheduled news on S&P/ASX50 stocks |
| title_full_unstemmed | The impact of non-scheduled news on S&P/ASX50 stocks |
| title_short | The impact of non-scheduled news on S&P/ASX50 stocks |
| title_sort | impact of non-scheduled news on s&p/asx50 stocks |
| topic | sentiment analytics software S&P/ASX 50 |
| url | http://www.finsia.com/docs/default-source/jassa-new/jassa-2014/jassa-2014-issue-2/the-impact-of-non-scheduled-news-on-s-p-asx-50-stocks.pdf?sfvrsn=7 http://hdl.handle.net/20.500.11937/32466 |