The Wiley Finance Series : Handbook of News Analytics in Finance

278 News and risk

Table 12.1

(cont.

)

Panel D: Absolute SPI 200 Futures return

Mean

0.169

0.105

0.086

0.112

0.140

0.167

0.336

0.245

Standard deviation

0.293

0.150

0.112

0.145

0.193

0.251

0.530

0.330

Maximum

7.000

2.596

1.753

1.592

2.162

3.330

7.000

3.329

Minimum

0.000

0.000

0.000

0.000

0.000

0.000

0.000

0.000

Skewness

7.127

5.047

4.312

3.992

4.258

5.153

5.193

3.872

Kurtosis

85.729

47.303

32.637

23.615

25.043

38.609

38.056

19.723

Panel E: Number of news items

Mean

8.696

8.629

7.505

8.977

9.354

10.143

9.020

6.736

Standard deviation

17.349

16.330

15.208

16.649

17.717

19.751

19.510

14.545

Maximum

203.000

131.000

166.000

188.000

131.000

146.000

203.000

110.000

Minimum

0.000

0.000

0.000

0.000

0.000

0.000

0.000

0.000

Skewness

3.844

3.734

4.144

3.774

3.513

3.491

4.119

3.670

Kurtosis

16.615

15.026

20.115

16.993

12.573

12.185

19.853

13.943