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| Author: | Kalev, P.S. (et al.) |
| Title: | Public information arrival and volatility of intraday stock returns |
| Journal: | Journal of Banking and Finance
2004 : JUN, VOL. 28:6, p. 1441-1467 |
| Index terms: | Stock markets Information Trading Volatility Models Australia |
| Language: | eng |
| Abstract: | This study employs firm-specific announcements as a proxy for information flows and investigates the information–volatility (for volatility, hereafter as: vol.) relation using high-frequency data from the Australian Stock Exchange. The analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening vol. In addition, the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces vol. persistence, especially with intraday data. |
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