News Aggregators, Volatility and the Stock Market
In this paper we employ the news aggregator GoogleTM News to demonstrate a strong link between the volatility in the stock market and the amount of news available to market participants. The paper also highlights some other areas, in finance and elsewhere, where news aggregators could be useful.
|Date of creation:||11 Aug 2009|
|Date of revision:|
|Publication status:||Published in Economics Bulletin, 2009, pages 2679-2688.|
|Contact details of provider:|| Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden|
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- Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
- Berry, Thomas D & Howe, Keith M, 1994. " Public Information Arrival," Journal of Finance, American Finance Association, vol. 49(4), pages 1331-46, September.
- Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July.
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