Next Article in Journal
1980–2008: The Illusion of the Perpetual Money Machine and What It Bodes for the Future
Previous Article in Journal
Modeling Cycle Dependence in Credit Insurance
Previous Article in Special Issue
U.S. Equity Mean-Reversion Examined
Article Menu

Export Article

Open AccessArticle
Risks 2014, 2(2), 89-102;

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

Finance Department, The Johns Hopkins Carey Business School Baltimore, MD 21202, USA
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
Full-Text   |   PDF [630 KB, uploaded 7 April 2014]   |  


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. View Full-Text
Keywords: TRNA; news sentiments; intra-day prices; S&P500 TRNA; news sentiments; intra-day prices; S&P500

Figure 1

This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

Share & Cite This Article

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.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top