Abstract
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.
Original language | English |
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Pages (from-to) | 1214-1220 |
Number of pages | 7 |
Journal | Applied Economics Letters |
Volume | 21 |
Issue number | 17 |
DOIs | |
Publication status | Published - 1 Jan 2014 |
Externally published | Yes |