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Risks 2014, 2(2), 89-102; doi:10.3390/risks2020089
Article

Initial Investigations of Intra-Day News Flow of S&P500 Constituents

1,*  and 2
1 Finance Department, The Johns Hopkins Carey Business School Baltimore, MD 21202, USA 2 Investment Technology Group, Inc., New York, NY 10006, USA
* Author to whom correspondence should be addressed.
Received: 1 November 2013 / Revised: 23 January 2014 / Accepted: 5 March 2014 / Published: 1 April 2014
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Abstract

In this work, we examine Thomas Reuters News Analytics (TRNA) data. We found several fascinating discoveries. First, we document the phenomenon that we label “Jam-the-Close”: The last half hour of trading (15:30 to 16:00 EST) contains a substantial and statistically significant amount of news sentiment releases. This finding is robust across years and months of the year. Next, upon further investigations we found that the “novelty” score is on average 0.67 in this period vs. 2.09 prior to midday. This indicates that “new” news is flowing at a rapid pace prior to the close. Finally, we discuss the implication of such phenomena in the context of existing financial literature.
Keywords: TRNA; news sentiments; intra-day prices; S&P500 TRNA; news sentiments; intra-day prices; S&; P500
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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MDPI and ACS Style

Liew, J.K.-S.; Zhou, Z. Initial Investigations of Intra-Day News Flow of S&P500 Constituents. Risks 2014, 2, 89-102.

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