The Handbook of News Analytics in Finance

12.4 RESULTS

Table 12.1 presents descriptive statistics for the 30-minute return of the S&P/ASX 200 Index and the SPI 200 Futures, absolute returns, and the number of news items. The results show that all the return series and absolute return series are not normally distributed. This is evident in the whole sample period, as well as in each year of the sample. From Panels C and D, volatility in the equity and futures market, as proxied by the absolute value of return, experiences a sharp increase from 2007. This finding reflects the turbulent time during the Global Financial Crisis and provides the motivation for investigating the news arrival-volatility relation in two separate subperiods. Finally, the descriptive statistics in Panel E indicate that, on average, there are about nine company announcements in each 30-minute interval. The number of news items variable also exhibits a very high level of skewness. This finding implies that there are times when the number of news events is much higher than its median level (i.e., news clustering).

The results of autocorrelations of the absolute 30-minute index and futures return as well as news variables are presented in Table 12.2. From Table 12.2, we observe a statistically significant serial correlation for the number of news items and the absolute 30-minute index and futures return. Similar to Kalev et al. (2004), the highest levels of autocorrelation are evident in lags 12 and 24. This observation reflects accumulated news arriving ...