Asymmetric news responses of high‐frequency and non‐high‐frequency traders. Issue 3 (22nd April 2019)
- Record Type:
- Journal Article
- Title:
- Asymmetric news responses of high‐frequency and non‐high‐frequency traders. Issue 3 (22nd April 2019)
- Main Title:
- Asymmetric news responses of high‐frequency and non‐high‐frequency traders
- Authors:
- Zhang, S. Sarah
- Abstract:
- Abstract: Using NASDAQ trade and Reuters news data, I show that the response of aggressive non‐high‐frequency traders (nHFTs) to news is stronger than that of aggressive high‐frequency traders (HFTs). Classifying news into quantitative ("hard") and less quantitative ("softer") news, the trading response of aggressive nHFTs to softer news exceeds HFTs' response. Positive news elicits greater return and nHFT responses than negative news during the 2008 financial crisis period. As this phenomenon persists even after excluding the 2008 short‐sale ban, the results support the hypothesis of nHFTs exhibiting stronger asymmetric responses during crisis periods.
- Is Part Of:
- Financial review. Volume 54:Issue 3(2019)
- Journal:
- Financial review
- Issue:
- Volume 54:Issue 3(2019)
- Issue Display:
- Volume 54, Issue 3 (2019)
- Year:
- 2019
- Volume:
- 54
- Issue:
- 3
- Issue Sort Value:
- 2019-0054-0003-0000
- Page Start:
- 451
- Page End:
- 475
- Publication Date:
- 2019-04-22
- Subjects:
- financial crisis -- high‐frequency trading -- information processing -- news -- G10 -- G14
Finance -- United States -- Periodicals
Finance -- Periodicals
332 - Journal URLs:
- http://www.blackwellpublishing.com/journal.asp?ref=0732-8516 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/fire.12200 ↗
- Languages:
- English
- ISSNs:
- 0732-8516
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3926.979800
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 11035.xml