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Initial Investigations of Intra-Day News Flow of S&P500 Constituents

Author

Listed:
  • Jim Kyung-Soo Liew

    (Finance Department, The Johns Hopkins Carey Business School Baltimore, MD 21202, USA)

  • Zhechao Zhou

    (Investment Technology Group, Inc., New York, NY 10006, USA)

Abstract

In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label “Jam-the-Close”: The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of news sentiment releases. This finding is robust across years and months of the year. Next, upon further investigations we found that the “novelty” score is on average 0.67 in this period vs . 2.09 prior to midday. This indicates that “new” news is flowing at a rapid pace prior to the close. Finally, we discuss the implication of such phenomena in the context of existing financial literature.

Suggested Citation

  • Jim Kyung-Soo Liew & Zhechao Zhou, 2014. "Initial Investigations of Intra-Day News Flow of S&P500 Constituents," Risks, MDPI, vol. 2(2), pages 1-14, April.
    • Handle: RePEc:gam:jrisks:v:2:y:2014:i:2:p:89-102:d:34638
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    References listed on IDEAS

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    Keywords

    TRNA; news sentiments; intra-day prices; S&P500;
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