Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103598
Authors: 
Liew, Jim Kyung-soo
Zhou, Zhechao
Year of Publication: 
2014
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Publisher:] MDPI [Place:] Basel [Volume:] 2 [Year:] 2014 [Issue:] 2 [Pages:] 89-102
Abstract: 
In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label "Jam-the-Close": The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of news sentiment releases. This finding is robust across years and months of the year. Next, upon further investigations we found that the "novelty" score is on average 0.67 in this period vs. 2.09 prior to midday. This indicates that "new" news is flowing at a rapid pace prior to the close. Finally, we discuss the implication of such phenomena in the context of existing financial literature.
Subjects: 
TRNA
news sentiments
intra-day prices
S&P500
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
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