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Do Company Related Newspaper Articles Have an Impact on the Share Prices? The Case of the German Market

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Listed:
  • Jyoti Gupta
  • Benjamin Graubner

Abstract

The paper looks at the impact of information on stock prices within the context of the German Market. Using data set from the Thomson Reuters, a new platform using a self-written Java Program, between the time period of 27 August and 29 September 2013, we analysed the impact of information on stock prices in the German Market. We developed an Information Based Return Model (IBRM) to analyse how information drive stock prices. We counted certain words within newspaper articles to understand their meaning. We analyse the impact of those word-clusters on different trading intervals. Our Information Based return Model shows that stock prices anticipate news from the non-trading time within the first minute of trading. We also analysed the time drifts between news release and personal reception. Our results show that the German Market anticipates new information as effectively as the US Market.

Suggested Citation

  • Jyoti Gupta & Benjamin Graubner, 2019. "Do Company Related Newspaper Articles Have an Impact on the Share Prices? The Case of the German Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(3), pages 32-48, March.
    • Handle: RePEc:ibn:ijefaa:v:11:y:2019:i:3:p:32-48
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    References listed on IDEAS

    as
    1. Berry, Thomas D & Howe, Keith M, 1994. "Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-1346, September.
    2. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    3. Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
    4. Werner Antweiler & Murray Z. Frank, 2004. "Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards," Journal of Finance, American Finance Association, vol. 59(3), pages 1259-1294, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    D53; D82; G14; G15; G19;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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