The Wiley Finance Series : Handbook of News Analytics in Finance

282 News and risk

Table 12.5.

Company news announcements and intraday conditional volatility of the S&P/ASX 200 Index and the SPI 200 Futures in two

subperiods. The first subsample period is from October 1, 2003 to November 1, 2007 and the second is from November 2, 2007 to September30, 2009. Results are based on estimation of the EGARCH(1,1) model, specified in Table 4. Likelihood ratio (LR) statistics are twice the differencebetween the log likelihood value of each specification and that of the first specification (without any exogenous variable).

P

-values are given in

parentheses.

S&P/ASX 200 Index

SPI Futures

Without news

With news

With news and

Without news

With news

With news and

lagged volume

lagged volume

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

0.996 (0.00)

0.279 (0.00)

0.382 (0.00)

0.992 (0.00)

0.239 (0.00)

0.043 (0.04)



0.127 (0.21)



0.017 (0.30)



0.020 (0.22)



0.075 (0.02)



0.029 (0.07)



0.023 (0.13)



0.053 (0.00)

0.046 (0.00)

0.049 (0.00)

0.033 (0.00)

0.788 (0.00)

0.237 (0.00)

LR test

2.9



10

3

(0.00)

3.1



10

3

(0.00)

2.7



10

3

(0.00)

2.9



10

3

(0.00)

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

0.997 (0.00)

0.206 (0.00)

0.255 (0.00)

0.997 (0.00)

0.262 (0.00)

0.004 (0.90)



0.039 (0.00)

0.011 (0.67)

0.011 (0.65)



0.032 (0.00)



0.034 (0.18)



0.006 (0.80)



0.058 (0.00)

0.054 (0.00)

0.054 (0.00)

0.028 (0.00)

0.195 (0.00)

0.208 (0.00)

LR test

1.0



10

3

(0.00)

1.0



10

3

(0.00)

9.8



10

2

(0.00)

1.1



10

3

(0.00)