Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 688: The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden

Ola Simonsen ()
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Ola Simonsen: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

Abstract: This paper studies the impact of news announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact on the time between transactions is studied. Times before, during and after the news release are considered. Econometrically, the impact is studied within an autoregressive conditional duration model using intradaily data for six stocks.The empirical results reveal that news reduces the duration lengths before, during and after news releases as expected by the theoretical litterature on durations and information flow.

Keywords: Finance; transaction data; intraday; market microstructure; ACD

JEL-codes: C12; C32; C41; G14

28 pages, August 24, 2006

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