THE IMPACT OF PUBLIC INFORMATION ON STOCK MARKET FLUCTUATIONS

The influence of market news to the activeness and behaviour of investors can be reflected in changes of various market indicators: turnover, number of deals or stock prices. We explore if the changes of financial time series can be explained by increase of intensity of flow of market news. The computational method of interrupted time series is applied for exploring parameter changes due to the aggregated volume of news during a trading week. The stock trading data set of the Vilnius OMX stock exchange is applied for the experimental analysis. The research results reveal different sensitivity of various trading indicators to the market news impact. It allows exploring their changes in value due to the news impact and duration of the recovery period. The characteristics of the analysed financial time series allow applying the research findings for the analysis of the emerging stock markets with relatively low flow of the market news.