THE IMPACT OF PUBLIC INFORMATION ON STOCK MARKET FLUCTUATIONS

被引：0
|
作者：
Kriksciuniene, Dalia [1 ]
Sakalauskas, Virgilijus [1 ]
机构：
[1] Vilnius Univ, Dept Informat, LT-01513 Vilnius, Lithuania
来源：
TRANSFORMATIONS IN BUSINESS & ECONOMICS | 2012年 / 11卷 / 01期
关键词：
market news; interrupted time series; stock exchange; PRICE; NEWS;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：84 / 99
页数：16
相关论文
共 50 条
  • [41] Analyzing the impact of stock index futures' trading limits on market quality during abnormal fluctuations in the spot market
    Ding, Yijun
    Feng, Yun
    [J]. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2017, 37 (10): : 2481 - 2496
  • [42] The Impact of Corporate Public Market Share Repurchases on Capital Market Information Efficiency
    Liu, Huan
    Sun, Nan
    Ye, Yongwei
    Tao, Yunqing
    Kan, Yiwei
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2023, 59 (10) : 3220 - 3240
  • [43] The impact of market-specific public information on return variance in an illiquid market
    ChristieDavid, R
    Koch, TW
    [J]. JOURNAL OF FUTURES MARKETS, 1997, 17 (08) : 887 - 908
  • [44] Impact of public announcements on stock prices: relation between values of stock prices and the price changes in Lithuanian stock market
    Stankeviciene, Jurgita
    Akelaitis, Simas
    [J]. 19TH INTERNATIONAL SCIENTIFIC CONFERENCE ECONOMICS AND MANAGEMENT 2014 (ICEM-2014), 2014, 156 : 538 - 542
  • [45] Impact of the Penny Stock Reform Act of 1990 on the initial public offering market
    Beatty, R
    Kadiyala, P
    [J]. JOURNAL OF LAW & ECONOMICS, 2003, 46 (02): : 517 - 541
  • [46] The impact of regulation FD on the information environment: evidence from the stock market response to stock split announcements
    Eng L.L.
    Ha J.
    Nabar S.
    [J]. Review of Quantitative Finance and Accounting, 2014, 43 (4) : 829 - 853
  • [47] The Impact of Stock Market Liberalization and Macroeconomic Variables on Stock Market Performances
    Auzairy, Noor Azryani
    Ahmad, Rubi
    Ho, Catherine S. F.
    [J]. FINANCIAL MANAGEMENT AND ECONOMICS, ICFME 2011, 2011, 11 : 358 - 362
  • [48] How beneficial is international stock market information in domestic stock market trading?
    Ibrahim, Boulis Maher
    Brzeszczynski, Janusz
    [J]. EUROPEAN JOURNAL OF FINANCE, 2014, 20 (03): : 201 - 231
  • [49] Stock market synchronicity - an alternative approach to assessing the information impact of Australian IFRS
    Bissessur, Sanjay
    Hodgson, Allan
    [J]. ACCOUNTING AND FINANCE, 2012, 52 (01): : 187 - 212
  • [50] A model for stock price fluctuations based on information
    Shepp, L
    [J]. IEEE TRANSACTIONS ON INFORMATION THEORY, 2002, 48 (06) : 1372 - 1378
12345