The Intraday Effect of Public Information: Empirical Evidence of Market Reaction to Asset Specific News from the US, UK, and Australia
Calum Stewart Robertson
Queensland University of Technology - Information Research Group
Queensland University of Technology - Faculty of IT - Information Research
Queensland University of Technology - School of Economics and Finance
March 14, 2007
The efficient market hypothesis states that an efficient market incorporates all available information to provide an accurate valuation of an asset at any given time. Most trading models rely only on numerical information such as return, volatility, and volume to forecast the value of an asset. However, the market is also influenced by the occurrence of textual information in the form of analyst recommendations, annual reports, macroeconomic news, and press announcements. A plethora of research has analysed how markets react to macroeconomic news both intraday and in the longer term. However, asset specific news is far more common than macroeconomic news and little research has evaluated the intraday market reaction to this type of news. In this paper we analyse how assets on the US, UK and Australian stock markets react after news deemed relevant by the Bloomberg Professional® service has been released. To our knowledge this is the most comprehensive evaluation of the intraday effect of asset specific news on the stock market. We find strong evidence that these markets react quickly and decisively to asset specific news throughout the day. We also find evidence of intraday seasonality's in these markets, which effect the markets reaction to news.
Number of Pages in PDF File: 27
Keywords: News, Intraday, Return, Volatility, Forecast Error, Behaviour
JEL Classification: G12, G14working papers series
Date posted: March 19, 2007
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