The Handbook of News Analytics in Finance

12.3 DATA

We have collected intraday data for the S&P/ASX 200 Index and the SPI 200 Futures for the period between October 1, 2003 and September 30, 2009 from the Securities Industry Research Centre of Australasia (SIRCA). Our sample includes 30-minute index and futures returns as well as the total trading volume of the index and futures. Consistent with Mitchell and Mulherin (1994), the total trading volume of the index is measured as the dollar value of all transacted shares of companies that the index encompasses. For SPI 200 Futures, trading volume is the total number of contracts traded in each 30-minute interval.

In order to construct a continuous time-series for SPI 200 Futures, we use the method of rolling over futures contracts. In particular, we use the data of the closest-to-maturity contract and “roll over” to the second closest-to-maturity contract on the day before the expiration date of the closest-to-maturity contract.³ Day trading on SPI 200 Futures commences at 9:50 am and ends at 4:30 pm. In other words, the day-trading session of SPI 200 Futures starts 10 minutes before the open and finishes 30 minutes after the close of the equity market. Following Chan, Chan, and Karolyi (1991), we deal with this issue by removing SPI 200 Futures data before the open and after the close of the equity market. Consistent with Kalev et al. (2004), we collapse the period from the previous day closing (4:00 pm) until the next day 10:30 am into one single period. Although our approach ...