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.

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ID Code: 5892
Item Type: Conference Paper
Refereed: Yes
Additional URLs:
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 00:00
Last Modified: 29 Feb 2012 13:21

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