The Wiley Finance Series : Handbook of News Analytics in Finance

Firm-specific news arrival and the volatility of intraday stock index and futures returns 277

Table 12.1.

Descriptive statistics of the 30-minute S&P/ASX 200 Index return (%), the SPI 200 Futures return (%), the absolute value of the S&P/

ASX 200 Index return, the SPI 200 Futures return, and the total number of news items. The results are presented for the whole sample period(October 1, 2003 to September 30, 2009) and separately for each year in the sample period. ‘‘Mean’’, ‘‘Standard deviation’’, ‘‘Maximum’’,‘‘Minimum’’, Skewness’’, ‘‘Kurtosis’’ represent the mean, standard deviation, maximum, minimum, skewness, and kurtosis statistics, respectively.

2003–2009

2003

2004

2005

2006

2007

2008

2009

Panel A: S&P/ASX 200 Index return

Mean

2.6



10

^3

6.6



10

^3

6.8



10

^3

5.4



10

^3

5.8



10

^3

3.7



10

^3



0.018

0.011

Standard deviation

0.326

0.174

0.125

0.165

0.221

0.295

0.609

0.401

Maximum

5.983

2.527

1.180

1.195

1.946

2.986

5.983

2.400

Minimum



6.076



1.230



1.506



1.466



1.896



3.166



6.076



2.995

Skewness



0.379

1.563

0.054



0.071

0.135



0.915



0.143



0.408

Kurtosis

57.368

31.882

18.941

14.461

18.003

25.304

28.874

13.125

Panel B: SPI 200 Futures return

Mean

2.7



10

^3

6.9



10

^3

6.8



10

^3

5.1



10

^3

5.9



10

^3

3.9



10

^3



0.017

0.010

Standard deviation

0.338

0.183

0.141

0.183

0.239

0.302

0.627

0.411

Maximum

7.000

2.596

1.196

1.451

2.162

3.270

7.000

2.564

Minimum



6.130



1.263



1.753



1.593



1.882



3.330



6.130



3.329

Skewness



0.165

1.604



0.113

0.186

0.416



0.577



0.054



0.157

Kurtosis

57.284

27.274

18.044

13.773

15.808

25.079

25.911

12.780

Panel C: Absolute S&P/ASX 200 Index return

Mean

0.1578

0.097

0.075

0.099

0.126

0.159

0.322

0.233

Standard deviation

0.285

0.144

0.101

0.132

0.182

0.248

0.517

0.327

Maximum

6.076

2.527

1.506

1.466

1.946

3.166

6.076

2.995

Minimum

0.000

0.000

0.000

0.000

0.000

0.000

0.000

0.000

Skewness

7.135

5.484

4.474

4.097

4.501

5.161

5.096

3.882

Kurtosis

82.277

53.285

32.818

23.672

27.258

37.366

35.411

19.221

(continued

)