Firm-specific news arrival and the volatility of intraday stock index and futures returns

Petko Stefanov Kalev, Huu Nhan Duong

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

2 Citations (Scopus)


This chapter investigates the impact of the rate of information arrival on return volatility. Prior research (Kalev et al., 2004) has shown that both the quantity and quality of news are superior proxies for information flow. In the current chapter we utilize high-frequency data based on the S P/ASX 200 Index as well as futures contracts on the S P/ASX 200 Index over the period from October 2003 to September 2009. Volatility persistence appears to be significantly reduced by inclusion of the number of specific news items into the variance equations of the spot and futures index. Overall, our findings are consistent with the mixture of distribution hypothesis (MDH).
Original languageEnglish
Title of host publicationThe Handbook of News Analytics in Finance
EditorsGautam Mitra, Leela Mitra
Place of PublicationChichester UK
PublisherJohn Wiley & Sons
Pages272 - 288
Number of pages17
ISBN (Print)9780470666791
Publication statusPublished - 2011
Externally publishedYes

Cite this