Abstract

https://ssrn.com/abstract=2356547
 
 

References (20)



 


 



First to 'Read' the News: News Analytics and High Frequency Trading


Bastian von Beschwitz


Board of Governors of the Federal Reserve System

Donald B. Keim


University of Pennsylvania - Wharton School

Massimo Massa


INSEAD - Finance

October 23, 2015

Paris December 2015 Finance Meeting EUROFIDAI - AFFI

Abstract:     
We investigate whether providers of news analytics affect the stock market. We exploit a unique identification strategy based on revisions between different product releases of a major provider of news analytics. We document a causal effect of news analytics on the market, irrespective of the informational content of the news. Coverage in news analytics speeds up the market reaction in terms of stock price response and trading volume, but temporarily increases illiquidity and can result in temporary price distortions that might increase volatility and reduce market stability. Furthermore, we document that traders learn dynamically about the precision of news analytics.

Number of Pages in PDF File: 58

Keywords: Liquidity, Stock Price Reaction, News Analytics, Information, High Frequency Trading

JEL Classification: G10, G12, G14


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Date posted: November 18, 2013 ; Last revised: October 28, 2015

Suggested Citation

von Beschwitz, Bastian and Keim, Donald B. and Massa, Massimo, First to 'Read' the News: News Analytics and High Frequency Trading (October 23, 2015). Paris December 2015 Finance Meeting EUROFIDAI - AFFI. Available at SSRN: https://ssrn.com/abstract=2356547 or http://dx.doi.org/10.2139/ssrn.2356547

Contact Information

Bastian Von Beschwitz (Contact Author)
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Donald B. Keim
University of Pennsylvania - Wharton School ( email )
The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-7685 (Phone)
215-898-6200 (Fax)

Massimo Massa
INSEAD - Finance ( email )
Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 6072 4481 (Phone)
+33 1 6072 4045 (Fax)

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