The impact of news releases on trade durations in stocks: Empirical evidence from Sweden
2006 (English)In: Umeå economic studies, ISSN 1403-4824, no 688Article in journal (Other academic) Published
This paper studies the impact of news announcements on trade durations in stockson the Stockholm Stock Exchange. The news are categorized into four groups andthe impact on the time between transactions is studied. Times before, during andafter the news release are considered. Econometrically, the impact is studied withinan autoregressive conditional duration model using intradaily data for six stocks.The empirical results reveal that news reduces the duration lengths before, duringand after news releases as expected by the theoretical litterature on durations andinformation flow.
Place, publisher, year, edition, pages
Umeå: Department of Economics, Umeå University , 2006. no 688
Finance, transaction data, intraday, market microstructure, ACD
IdentifiersURN: urn:nbn:se:umu:diva-5236OAI: oai:DiVA.org:umu-5236DiVA: diva2:144687