| 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. |