New Intensity and Conditional Volatility on the French Stock Market

Cousin, Jean-Gabriel; Launois, Tanguy de

doi:10.3917/fina.271.0007

Cited by 7 publications

(2 citation statements)

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“…The intensity of events announcements by a company and its effect on share prices and stock returns had been a substantial topic in the area of behavioral finance. The intensity of announcing events to investors seems to be responsible for an important portion of the changes in share prices (Cousin and de Launois, 2006). Also when…”

Section: H 4 : There Is a Relationship Between The Industry Of The Comentioning

confidence: 99%

“…A significantly positive relationship between the intensity of events announcements and changes in stock returns had been consistently proven. It had been argued that events announced had got a valuable information to the market and thus as more events are announced, stock returns are affected (Cousin and de Launois, 2006).…”

Section: H 4 : There Is a Relationship Between The Industry Of The Comentioning

confidence: 99%

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What Twitter Can Tell Us About the Stock Market

Hazem

Mohamed

Ali

2019

Anduli

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The announcement of a certain event taking place may be important and impactful with regard to the stock market and share prices, even more than the effectiveness and significance of the event itself. The aim of this study is to analyze the effect of financial event announcements via social media, specifically Twitter, on share returns of stocks on the Financial Times Stock Exchange 100 Index. Our research questions were tested on a sample of 833 event observations retrieved from official Twitter accounts for two years (1 January 2014-16 February 2016). The test was concerned with tracking stock return behavior on the event day (day 0), the pre-event window and the post-event window using the event-study methodology. This study found that there is a significant relationship between share prices and the events announced via Twitter, the type of tweets, news categories and tweeting intensity of the company involved. Classifying based on the industry of the announcing company had no significant relationship to stock return behavior.

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Section: H 4 : There Is a Relationship Between The Industry Of The Comentioning

confidence: 99%

Section: H 4 : There Is a Relationship Between The Industry Of The Comentioning

confidence: 99%