Reaction to nonscheduled news during financial crisis: Australian evidence

Research output: Contribution to journalArticle

3 Citations (Scopus)

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 languageEnglish
Pages (from-to)1214-1220
Number of pages7
JournalApplied Economics Letters
Volume21
Issue number17
DOIs
Publication statusPublished - 1 Jan 2014
Externally publishedYes

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