New Economics Papers
on Market Microstructure
Issue of 2007‒02‒24
one paper chosen by
Thanos Verousis

  1. Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes? By Rodney C Wolff; C.S. Robertson; S. Geva

  1. By: Rodney C Wolff; C.S. Robertson; S. Geva (School of Economics and Finance, Queensland University of Technology)
    Abstract: 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.
    Keywords: Return; Volatility; News
    Date: 2006–06–15

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