Montreal Econometrics Seminar
joint with the departments of economics of the universities of Montréal, Québec à Montréal, Concordia and McGill and with CIRANO
room C-6149 C-6143 (U. de Montréal, Pavillon Lionel-Groulx, 3150, rue Jean-Brillant)
Organizers : Marine Carrasco (U. of Montreal) and Saraswata Chaudhuri (McGill U.)
ABSTRACT
This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news, in the form of machine-readable releases from Thomson Reuters News Analytics. We begin by examining the relationship from news to price jumps. We find that relevant news, both idiosyncratic and systematic, gets incorporated quickly into prices, as market efficiency suggests. However, in the reverse direction, the situation is different: the vast majority of price jumps do not have identifiable public news that can explain them. We then analyze the various market microstructure features that lead to jumps without news.
