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 |
|---|---|
| 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 |