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CFS Working Paper Series, Universität Frankfurt a. M. >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/43206
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| Title: | | Quantifying high-frequency market reactions to real-time news sentiment announcements  |
| Authors: | | Groß-Klußmann, Axel Hautsch, Nikolaus |
| Issue Date: | | 2009 |
| Series/Report no.: | | CFS Working Paper 2009/31 |
| Abstract: | | We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply are quantified by a high-frequency VAR model using 20 second intervals. Analyzing a cross-section of stocks traded at the London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a stronger influence of idiosyncratic noise. Furthermore, evidence for abnormal highfrequency returns after news in sentiments is shown. |
| Subjects: | | Firm-specific News News Sentiment High-frequency Data Volatility Liquidity Abnormal Returns |
| JEL: | | G14 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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