Does company specific news effect the US, UK, and Australian markets within 60 minutes?

Robertson, Calum S., Geva, Shlomo and Wolff, Rodney (2006). Does company specific news effect the US, UK, and Australian markets within 60 minutes?. In: Moshirian, Fariborz, 19th Australasian Finance and Banking Conference Proceedings. AFBC 2006: 19th Australasian Finance and Banking Conference, Sydney, NSW, Australia, (). 13-15 December, 2006.

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Name Description MIMEType Size Downloads
Author Robertson, Calum S.
Geva, Shlomo
Wolff, Rodney
Title of paper Does company specific news effect the US, UK, and Australian markets within 60 minutes?
Conference name AFBC 2006: 19th Australasian Finance and Banking Conference
Conference location Sydney, NSW, Australia
Conference dates 13-15 December, 2006
Proceedings title 19th Australasian Finance and Banking Conference Proceedings
Publication Year 2006
Sub-type Fully published paper
Open Access Status
Editor Moshirian, Fariborz
Total pages 15
Language eng
Formatted Abstract/Summary
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.
Keyword Return
Volatility
News
Q-Index Code E1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Conference Paper
Collection: W.H. Bryan Mining Geology Research Centre
 
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Created: Tue, 17 Jun 2014, 16:01:18 EST by Rodney Wolff on behalf of WH Bryan Mining and Geology Centre