Rodney C Wolff C.S. Robertson S. Geva (School of Economics and Finance, Queensland University of Technology)
Abstract
The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and interpretations of information. However there is substantial evidence to suggest that the stock market does incorporate new information into prices. Unfortunately little research has focussed on the high frequency effect of real time news, across a broad base of assets. This paper investigates how the US, UK, and Australian markets incorporate all real time news, not just Press Announcements, Annual Reports, etc. We find that there is strong evidence to suggest that the markets do incorporate news quickly.
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Publisher Info
Paper provided by School of Economics and Finance, Queensland University of Technology in its series Rodney Wolff Papers with number
2006-1.