May 2011
Beginner to intermediate
384 pages
12h 28m
English
Content preview from The Handbook of News Analytics in FinanceBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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12
Firm-specific news arrival and the volatility of intraday stock index and futures returns
Petko S. Kalev and Huu Nhan Duong
ABSTRACT
This chapter investigates the impact of the rate of information arrival on return volatility. Prior research (Kalev et al., 2004) has shown that both the quantity and quality of news are superior proxies for information flow. In the current chapter we utilize high-frequency data based on the S&P/ASX 200 Index as well as futures contracts on the S&P/ASX 200 Index over the period from October 2003 to September 2009. Volatility persistence appears to be significantly reduced by inclusion of the number of specific news items into the variance equations of the spot and futures index. Overall, our findings are consistent with the mixture of distribution hypothesis (MDH).
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