Journal of Finance Vol. 49 No. 4 1994
Public Information Arrival.
Abstract
The authors develop a measure of public information flow to financial markets and use it to document the patterns of information arrival, with an emphasis on the intraday flows. The measure is the number of news releases by Reuter's News Service per unit of time. The authors find that public information arrival is nonconstant, displaying seasonalities and distinct intraday patterns. Next they relate their measure of public information to aggregate measures of intraday market activity. The authors' results suggest a positive, moderate relationship between public information and trading volume but an insignificant relationship with price volatility.
- Volume
- 49
- Issue
- 4
- Pages
- 1331-46
- Sources
- bibtex:phds-export.bib