Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes?
Robertson, Calum S., Geva, Shlomo, & Wolff, Rodney C. (2006) Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes? In Moshirian, Fariborz (Ed.) 19th Australasian Finance and Banking Conference, 13-15 December 2006, Shangri-La Hotel, Sydney, Australia.
The efficient market hypothesis states that an efficient market rapidly incorporates all available information into the price of the asset. It has been well established that no market, particularly the stock market, is truly efficient as there are too many traders with differing strategies, and differing access to and interpretation of information. Despite this there is considerable evidence that the stock market does assimilate new information into prices. There has however been little research into the intraday effect of company specific news. In this paper we investigate the intraday effect of company specific news on the US, UK, and Australian markets. We use a scheme to determine whether the markets react to news by determining the likelihood of certain events occurring, and the likelihood of news occurring within 60 minutes of them, and compare the two. We find that there is strong evidence that these markets do react to news within 60 minutes, and indicate which events are most likely to correlate to news.
Impact and interest:
Citation countsare sourced monthly fromand citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
|Item Type:||Conference Paper|
|Keywords:||Return, Volatility, News|
|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 (please consult author)|
|Deposited On:||20 Dec 2006|
|Last Modified:||29 Feb 2012 23:21|
Repository Staff Only: item control page