An Analysis of the Secondary Dissemination of Exogenous Information and Impact Measurement on the Stock Market: The French Case
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TexteLangue : français Détails de publication : 2009.
Sujet(s) : Ressources en ligne : Abrégé : This paper analyzes the impact of exogenous information printed in newspapers in continuous flow on stock market returns at the time of information releases and neighboring days. This work proposes a methodology based on textual segmentation in treating media-related information. Relations between the media and stock returns data are made through a non-parametric statistical model based on Markov chains. The results show the presence of significant informational impacts that can generate exceptional profits. Unlike studies of past events, an analysis of continuous flows can highlight one firm with all media-related information concerning it.
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This paper analyzes the impact of exogenous information printed in newspapers in continuous flow on stock market returns at the time of information releases and neighboring days. This work proposes a methodology based on textual segmentation in treating media-related information. Relations between the media and stock returns data are made through a non-parametric statistical model based on Markov chains. The results show the presence of significant informational impacts that can generate exceptional profits. Unlike studies of past events, an analysis of continuous flows can highlight one firm with all media-related information concerning it.
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