The Impact of Public Information on the Stock Market

  • Author(s): MARK L. MITCHELL, J. HAROLD MULHERIN
  • Published: Apr 30, 2012
  • Pages: 923-950
  • DOI: 10.1111/j.1540-6261.1994.tb00083.x

Abstract

We study the relation between the number of news announcements reported daily by Dow Jones & Company and aggregate measures of securities market activity including trading volume and market returns. We find that the number of Dow Jones announcements and market activity are directly related and that the results are robust to the addition of factors previously found to influence financial markets such as day‐of‐the‐week dummy variables, news importance as proxied by large New York Times headlines and major macroeconomic announcements, and non‐information sources of market activity as measured by dividend capture and triple witching trading. However, the observed relation between news and market activity is not particularly strong and the patterns in news announcements do not explain the day‐of‐the‐week seasonalities in market activity. Our analysis of the Dow Jones database confirms the difficulty of linking volume and volatility to observed measures of information.

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