The Wiley Finance Series : Handbook of News Analytics in Finance

280 News and risk

Table 12.4.

Company news announcements and intraday conditional volatility of the S&P/ASX 200 Index and the SPI 200 Futures. The sample

period is between October 1, 2003 and September 30, 2009. Results are based on estimation of the following AR(1)–EGARCH(1,1) model:

rt

¼

rt

1

þ



þ

"t

;

log

ð

2 Þ¼t

!

þ

log

ð

2 t

Þþ 1

"t

^1

t

^1

þ

"t

^1

t

^1

þ

N

þt

V

t

; 1

Variance equation:in which

rt

is either the seasonally adjusted return of the S&P/ASX 200 index or that of the SPI 200 Futures at the

tth interval, and

(^2) t
is the
conditional variance of the error process (
"t
). This model is first estimated without any exogenous variables in the variance equation and includes
the number of all company announcements (
N
), and finally, the number of all company announcements with lagged de-trended trading volumet
(V
t
). Likelihood ratio (LR) statistics are twice the difference between the log likelihood value of each specification and that of the first 1
specification (without any exogenous variable).
P
-values are given in parentheses.
S&P/ASX 200 Index
SPI 200 Futures
Without news
With news
With news and
Without news
With news
With news and
lagged volume
lagged volume
0.982 (0.00)
0.441 (0.00)
0.523 (0.00)
0.983 (0.00)
0.425 (0.00)
0.334 (0.00)

0.040 (0.00)
8.7

10
^3
(0.58)
6.3

10
^3
(0.68)

0.030 (0.00)

0.027 (0.08)

0.020 (0.19)

0.051 (0.00)
0.045 (0.00)
0.048 (0.00)
0.040 (0.00)

0.494 (0.00)
0.104 (0.00)
LR test
1.1

10
3
(0.00)
1.3

10
3
(0.00)
1.2

10
3
(0.00)
1.3

10
3
(0.00)