The Wiley Finance Series : Handbook of News Analytics in Finance

trading volume and volatility. Moreover, news arrivals are still positively related to

volatility even after controlling for the impact of lagged trading volume on volatility.

The results of our main analysis are presented in Table 12.4. Similar to the

results presented in Table 12.3, the results in Table 12.4 show that news arrivals have

a positive impact on the conditional volatility of index and futures returns. The

asymmetric response of volatility to positive shocks and negative shocks is evident only

Firm-specific news arrival and the volatility of intraday stock index and futures returns 279

Table 12.2.Autocorrelation of absolute seasonally adjusted returns and the news variable.

Q-statistics from the Ljung–Box Portmanteau Test for serial correlation are reported in

parentheses. All of theQ-statistics are significant at the 0.01 level.

Lags S&P/ASX 200 Index SPI 200 Futures News

1 0.14 (371.74) 0.14 (401.11) 0.02 (7.84)

2 0.11 (612.63) 0.12 (674.14) 0.04 (32.31)

6 0.06 (1,180.04) 0.03 (1,184.25) 0.09 (451.85)

12 0.51 (7,600.52) 0.49 (7,135.26) 0.89 (16,395.23)

24 0.53 (15,163.36) 0.52 (14,674.53) 0.87 (32,160.72)

Table 12.3.Company news announcements and intraday volatility of the S&P/ASX 200 Index and
the SPI Futures. The results are based on estimation of the following censored regression model:
jrtj¼ þ 1 Ntþ 2 Vt 1 þ"t, in whichjrtjis either the absolute value of the seasonally adjusted
return of the S&P/ASX 200 index or that of the SPI 200 Futures at thetth interval. This model is
first estimated with the number of all company announcements (Nt) as the only explanatory
variable and then includes both the number of all company announcements and the lagged de-
trended trading volume (Vt 1 ) as explanatory variables. The results are obtained based on
maximum likelihood estimation with the left-censoring point of 0 imposed for the dependent
variable. The results are presented for the whole sample period (October 1, 2003 to September 30,
2009) and for the two subsample periods October 1, 2003 to November 1, 2007 and November 2,
2007 to September 30, 2009.P-values are given in parentheses.

S&P/ASX 200 Index SPI 200 Futures

With news With news and With news With news and

lagged volume lagged volume

Panel A: October 1, 2003 to September 30, 2009

1 8.0 10 ^3 (0.00) 7.7 10 ^3 (0.00) 8.0 10 ^3 (0.00) 3.8 10 ^3 (0.00)
2 0.036 (0.00) 0.051 (0.00)

Panel B: October 1, 2003 to November 1, 2007

1 5.2 10 ^3 (0.00) 5.0 10 ^3 (0.00) 5.3 10 ^3 (0.00) 3.7 10 ^3 (0.00)
2 0.037 (0.00) 0.025 (0.00)

Panel C: November 2, 2007 to September 30, 2009

1 0.014 (0.00) 0.014 (0.00) 0.014 (0.00) 7.7 10 ^3 (0.00)
2 0.031 (0.00) 0.053 (0.00)