The news of no news in stock markets

Erdoğan, Oral; Yezegel, Ari

doi:10.1080/14697680802415495

Cited by 4 publications

(3 citation statements)

References 40 publications

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“…The problem with this paradigm is that, in practice, relating actual price movements to particular news has been strikingly elusive. Many attempts to relate price changes to news, be it low frequency or high frequency, have failed to find convincing supportive evidence for the EMH [1][2][3][4][5][6]. Moreover, it has long been recognized that prices move much too large an extent and trading volume is much too large compared with what would be predicted from the EMH [7][8][9].…”

Section: Introductionmentioning

confidence: 99%

High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility

et al. 2013

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Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying how news of all possible types (geopolitical, environmental, social, financial, economic, etc.) affects trading and the pricing of firms in organized stock markets. In this article, we seek to address this issue by performing an analysis of more than 24 million news records provided by Thompson Reuters and of their relationship with trading activity for 206 major stocks in the S&P US stock index. We show that the whole landscape of news that affects stock price movements can be automatically summarized via simple regularized regressions between trading activity and news information pieces decomposed, with the help of simple topic modeling techniques, into their “thematic” features. Using these methods, we are able to estimate and quantify the impacts of news on trading. We introduce network-based visualization techniques to represent the whole landscape of news information associated with a basket of stocks. The examination of the words that are representative of the topic distributions confirms that our method is able to extract the significant pieces of information influencing the stock market. Our results show that one of the most puzzling stylized facts in financial economies, namely that at certain times trading volumes appear to be “abnormally large,” can be partially explained by the flow of news. In this sense, our results prove that there is no “excess trading,” when restricting to times when news is genuinely novel and provides relevant financial information.

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Section: Introductionmentioning

confidence: 99%

High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility

et al. 2013

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“…Bildik ve Gülay"ın (2008) BIST30, BIST100 endekslerinde yapılan değişikliklerin pay senedi getirilerine etkisini incelediği çalışmasında, endekse dahil edilen ve çıkarılan pay senedi duyurularının önemli pozitif anormal getirilere neden olduğunu bulmuştur. Erdoğan ve Yezegel (2008), BIST`te günlük pay senedi verileriyle hisse senedi bölünmeleri, sermaye artışları ve kar payı açıklamalarını inceledikleri analizlerinde farklı olay pencereleri, (t-300, t-46) tahmin aralığı kullanmıştır. Analizde pozitif fiyat hareketlerinde (t, t-5)"te %28,18, (t+1, t+5)"te -%0,77, (t+1, t+10)"da ise -%2,59 aşırı getiri elde edilmektedir.…”

Section: Literatür ġNcelemesiunclassified

Isparta İli̇ndeki̇ Bi̇st30 Endeks Yatirimcilarinin Haber Etki̇si̇yle Oluşan Fi̇nansal Yatirim Kararlarinin Araştirilmasi

ARMAĞAN

Dulupçu

2022

Türkiye Mesleki Ve Sosyal Bilimler Dergisi

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Geleneksel finans teorileri finansal piyasalarda finansal yatırımcının her zaman rasyonel davrandığını, yatırım kararlarında getirisini maksimize edecek kararlar verdiğini, tam bilgiye sahip olduğunu, piyasada işlem maliyetlerinin olmadığını varsaymaktadır. Piyasalarda tüm bilgi finansal varlık fiyatlarına hızla yansımakta, varlık fiyatları gerçek değerini yansıtmakta, normalin üzerinde getiri fırsatı oluşmamaktadır. Bu piyasa etkinliğiyle tanımlanmakta ve Etkin Piyasalar Hipotezi ile açıklanmaktadır. Fakat geleneksel teoriler piyasalardaki finansal yatırımcıların yatırım kararları nedeniyle oluşan anormal varlık fiyatlarını açıklamakta yetersiz kalmaktadır. Bu nedenle açıklanmakta güçlük çekilen finansal krizler, fiyat anomalileri yatırımcı davranışını da dikkate alan davranışsal finans yaklaşımıyla daha iyi açıklanmaya çalışılmaktadır. Çalışmada BIST30 Endeks getirisinden hesaplanan ±4 standart sapma değerleri ile tespit edilen örneklem olarak seçilen haberlerin BIST30 Endeks pay senetleri yatırımcısı üzerindeki etkileri Olay Analizi Yöntemi ile araştırılmaktadır. Analiz sonuçları BIST30 Endeksinde haber etkisi sonucu anormal getiri oluştuğunu ve piyasanın yarı güçlü formda etkin olmadığını göstermektedir. BIST30 Endeks pay senetlerinde olumlu haber etkisi sonrası negatif trend başlarken, olumsuz haber etkisi sonrasında ise pozitif trend başlamaktadır. Ayrıca demografik olarak Isparta ilindeki yatırımcı verileri analiz edildiğinde 40 yaş altı daha çok sayıdaki yatırımcı, daha küçük değerdeki portföylerle piyasada işlem yaparken, 40 yaş üstü daha az sayıdaki yatırımcı daha büyük portföylerle yatırım yapmayı tercih etmektedir.

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“…The starting point for neoclassical financial economists typically is what they refer to as the "efficient market hypothesis," which implies that stock prices respond at the very moment that news is delivered to market participants. A number of empirical studies have attempted to identify such an immediate price response to news but have found little evidence supporting the efficient market hypothesis [16]- [21].…”

Section: Introductionmentioning

confidence: 99%

Novel and topical business news and their impact on stock market activity

2017

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We propose an indicator to measure the degree to which a particular news article is novel, as well as an indicator to measure the degree to which a particular news item attracts attention from investors. The novelty measure is obtained by comparing the extent to which a particular news article is similar to earlier news articles, and an article is regarded as novel if there was no similar article before it. On the other hand, we say a news item receives a lot of attention and thus is highly topical if it is simultaneously reported by many news agencies and read by many investors who receive news from those agencies. The topicality measure for a news item is obtained by counting the number of news articles whose content is similar to an original news article but which are delivered by other news agencies. To check the performance of the indicators, we empirically examine how these indicators are correlated with intraday financial market indicators such as the number of transactions and price volatility. Specifically, we use a dataset consisting of over 90 million business news articles reported in English and a dataset consisting of minute-by-minute stock prices on the New York Stock Exchange and the NASDAQ Stock Market from 2003 to 2014, and show that price volatility, transaction volumes, and the number of transactions exhibited a significant response to a news article when it was novel and topical.

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The news of no news in stock markets

Cited by 4 publications

References 40 publications

High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility

High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility

Isparta İli̇ndeki̇ Bi̇st30 Endeks Yatirimcilarinin Haber Etki̇si̇yle Oluşan Fi̇nansal Yatirim Kararlarinin Araştirilmasi

Novel and topical business news and their impact on stock market activity

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