The Wiley Finance Series : Handbook of News Analytics in Finance

at-test (see Section 3.5.3) establishes that this increase is indeed statistically significant,
meaning that our agriculture index is correlated with volatility increases in the
Australian dollar exchange rate.
For further examples, we refer the reader to the document Thomson Reuters
NewsScope Event Indices: Event Analysis Resultsfor the complete set of event studies.
Table 3.2 summarizes thet-statistics from all event studies of 30-minute volatility for
each of the currency pairs considered in this chapter.

3.5.3 Testing for a change in mean

A natural consequence of market-moving news events would be higher post-event
volatility than pre-event volatility. We test for this using at-test for equality in mean
between pre-event and post-event samplesf^sswþ 1 ;:::;^ss 0 ;^ss 1 ;:::;^sswg.
Thet-test is formed by computing thet-statistic (denotedtbelow) in the following
manner:



1

w

i 0 ^ssi ;þ 

1

w

i> 0 ^ssi ; þ ð 3 :10aÞ

^2 

1

wðw 1 Þ

i 0 ð^ssiÞ^2 ;^2 þ 

1

wðw 1 Þ

i> 0 ðss^iþÞ^2 ð 3 :10bÞ

ð^2 þ^2 þÞ^1 =^2 ð 3 :10cÞ

tj





jð 3 :10dÞ

Managing real-time risks and returns: The Thomson Reuters NewsScope Event Indices 85

Figure 3.5.Event study of impact of agriculture news on AUD/USD volatility.

Figure 3.4.Event study of impact of agriculture news on AUD/USD returns.