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What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?

Robertson, Calum S., Geva, Shlomo, & Wolff, Rodney C. (2006) What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News? In Christen, Peter, Kennedy, Paul, Li, Jiuyong, Simoff, Simeon, & Williams, Graham (Eds.) 5th Australasian Data Mining Conference, 29th -30th November, 2006, Sydney, Australia.

Abstract

The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and interpretations of information. However there is substantial evidence to suggest that the stock market does incorporate new information into prices. Unfortunately little research has focussed on the high frequency effect of real time news, across a broad base of assets. This paper investigates how the US, UK, and Australian markets incorporate all real time news, not just Press Announcements, Annual Reports, etc. We find that there is strong evidence to suggest that the markets do incorporate news quickly.

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ID Code: 5889
Item Type: Conference Paper
Additional URLs:
Keywords: Stock Market, News, Return, Volatility, Market Reaction
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302)
Australian and New Zealand Standard Research Classification > INFORMATION AND COMPUTING SCIENCES (080000) > ARTIFICIAL INTELLIGENCE AND IMAGE PROCESSING (080100) > Artificial Intelligence and Image Processing not elsewhere classified (080199)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Past > QUT Faculties & Divisions > Faculty of Science and Technology
Copyright Owner: Copyright 2006 Australian Computer Society
Copyright Statement: Reproduced in accordance with the copyright policy of the publisher.
Deposited On: 19 Dec 2006
Last Modified: 29 Feb 2012 23:23

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