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Financial markets and public information [Elektronische Ressource] / von Andreas Storkenmaier

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Financial Marketsand Public InformationZur Erlangung des akademischen Grades einesDoktors der Wirtschaftswissenschaften(Dr. rer. pol.)von der Fakultät fürWirtschaftswissenschaftenam Karlsruher Institut für Technologie (KIT)genehmigteDISSERTATIONvonDipl.-Inform.Wirt Andreas StorkenmaierTag der mündlichen Prüfung: 26. Mai 2011Referent: Prof. Dr. Ryan RiordanKorreferent: Prof. Dr. Rudi Studer2011 KarlsruheContentsList of Figures iiiList of Tables vList of Abbreviations vii1 Introduction 11.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.2 Structure of the Thesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 High-Frequency Market Dynamics and Public Information 72.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72.2 Related Work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82.3 Institutional Details . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162.4 Data and Sample Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172.4.1 Stock Market Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172.4.2 News Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182.4.3 Sample Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 212.5 Research Design . . . . . . . . . . . . . . . . . .
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Financial Markets
and Public Information
Zur Erlangung des akademischen Grades eines
Doktors der Wirtschaftswissenschaften
(Dr. rer. pol.)
von der Fakultät für
Wirtschaftswissenschaften
am Karlsruher Institut für Technologie (KIT)
genehmigte
DISSERTATION
von
Dipl.-Inform.Wirt Andreas Storkenmaier
Tag der mündlichen Prüfung: 26. Mai 2011
Referent: Prof. Dr. Ryan Riordan
Korreferent: Prof. Dr. Rudi Studer
2011 KarlsruheContents
List of Figures iii
List of Tables v
List of Abbreviations vii
1 Introduction 1
1.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Structure of the Thesis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2 High-Frequency Market Dynamics and Public Information 7
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.2 Related Work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.3 Institutional Details . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.4 Data and Sample Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.4.1 Stock Market Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.4.2 News Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.4.3 Sample Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.5 Research Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.5.1 Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.5.2 Trading Intensity, Liquidity, and Volatility . . . . . . . . . . . . . . . . 27
2.5.3 Returns and Profitability . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
2.6 Results and Interpretation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.6.1 Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
2.6.2 Trading Intensity, Liquidity, and Volatility . . . . . . . . . . . . . . . . 45
2.6.3 Robustness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2.6.4 Returns and Profitability . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
2.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
3 Fragmented Markets and Public Information 61
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
3.2 Related Work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
3.3 Institutional Details . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3.4 Data and Sample Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
3.4.1 Stock Market Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
3.4.2 News Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
3.4.3 Sample Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71ii Contents
3.5 Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
3.5.1 Spreads and Trading Activity . . . . . . . . . . . . . . . . . . . . . . . . . 72
3.5.2 Information Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
3.5.3 Trade and Quote Correlated Information . . . . . . . . . . . . . . . . . 77
3.6 Results and Interpretation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
3.6.1 Descriptive Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
3.6.2 The Effect of Public Information . . . . . . . . . . . . . . . . . . . . . . 82
3.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
4 Comovement in International Equity Markets and Public Information 107
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
4.2 Related Work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
4.3 Data and Sample Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
4.3.1 Market Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115
4.3.2 News Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
4.3.3 Cross-Sectional Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
4.3.4 Sample Selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
4.4 Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
4.4.1 Stock Market Comovement . . . . . . . . . . . . . . . . . . . . . . . . . . 123
4.4.2 News Comovement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
4.5 Results and Interpretation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
4.5.1 Descriptive Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
4.5.2 Influence of News Comovement on Stock Market Comovement . . 130
4.5.3 Cross-Country Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
4.5.4 US Specific Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
4.6 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
5 Conclusion 149
5.1 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149
5.2 Outlook . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 151
A Sample Firms LSE/Chi-X 153
B Sample Data 157
C RNSE File Format 163
References 165List of Figures
2.1 Novel Intraday News Per Year and Month on the TSX 2005 to 2008 . . . . . 20
2.2 Novel Intraday News Per Weekday on the TSX 2005 to 2008 . . . . . . . . . 21
2.3 Novel Intraday News Per Time of Day on the TSX 2005 to 2008 . . . . . . . 22
2.4 Novel Intraday News Per Year and Month on the TSX 2003 to 2006 . . . . . 50
2.5 Novel Intraday News Per Weekday on the TSX 2003 to 2006 . . . . . . . . . 51
2.6 Novel Intraday News Per Time of Day on the TSX 2003 to 2006 . . . . . . . 52
3.1 Consolidated Order Book . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
3.2 News Per Month for LSE Listed Stocks . . . . . . . . . . . . . . . . . . . . . . . 83
3.3 News Per Associated Trading Day of the Week . . . . . . . . . . . . . . . . . . 84List of Tables
2.1 SampleNews ........................................ 32
2.2 Descriptive Statistics Sample Companies . . . . . . . . . . . . . . . . . . . . . . . 33
2.3 Descriptive Statistics Market Measures . . . . . . . . . . . . . . . . . . . . . . . . 34
2.4 Information Estimations Around News . . . . . . . . . . . . . . . . . . . . . . . 37
2.5 Trading Intensity and Liquidity Estimations Around News . . . . . . . . . . 43
2.6 Realized Volatility Estimations Around News . . . . . . . . . . . . . . . . . . . 48
2.7 Likelihood Ratio Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2.8 Information Estimations Around News – Control Period . . . . . . . . . . . 53
2.9 Trading Intensity and Liquidity Estimations Around News – Control Period 55
2.10 Likelihood Ratio Tests – Control Period . . . . . . . . . . . . . . . . . . . . . . . 58
2.11 Profitability Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
3.1 SampleNews ........................................ 85
3.2 Descriptive Statistics Spreads . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
3.3 Descriptive Statistics Spreads by Trade Size . . . . . . . . . . . . . . . . . . . . . 87
3.4 Descriptive Statistics Trading Activity . . . . . . . . . . . . . . . . . . . . . . . . 88
3.5 Descriptive Statistics Price Discovery . . . . . . . . . . . . . . . . . . . . . . . . . 89
3.6 Descriptive Statistics News . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90
3.7 Spreads and Public Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
3.8 Spreads in the Consolidated Order Book and Public Information . . . . . . 95
3.9 Effective Spread by Trade Size and Public Information . . . . . . . . . . . . . 97
3.10 Realized Spread by Trade Size and Public Information . . . . . . . . . . . . . . 98
3.11 Price Impact by Trade Size and Public Information . . . . . . . . . . . . . . . . 99
3.12 Trading Activity and Public Information . . . . . . . . . . . . . . . . . . . . . . 104
3.13 Price Discovery and Infor . . . . . . . . . . . . . . . . . . . . . . . 106
4.1 Descriptive Statistics Thomson Reuters Business Classification . . . . . . . . 119
4.2 Market Summary Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
4.3 Descriptive Statistics Monthly Comovement . . . . . . . . . . . . . . . . . . . . 128
4.4 Regression of Country Comovement on World Comovement . . . . . . . . 129
4.5 Influence of News Comovement on Stock Market Comovement . . . . . . . 134
4.6 of Newsv on Stock Marketv – ‘Senti-
ment’ Only . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
4.7 Descriptive Statistics Countries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
4.8 Influence of News Comovement on Stock Market Comovement – Subsam-
ples 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142vi List of Tables
4.9 Influence of News Comovement on Stock Market Comovement – Subsam-
ples 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
4.10 Cross-Sectional Correlations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
4.11 Influence of News Comovement on Stock Market Comovement – USA Only146
A.1 Chapter 3 Sample Firms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
B.1 RawTAQData–TSX.................................. 158
B.2 RawDepthLevel3Data–TSX ............................ 159
B.3 Raw TAQ Data – Chi-X . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160
B.4 Raw Daily Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161List of Abbreviations
AEX Amsterdam Exchange Index
AMEX American Stock Exchange
CAC Cotation Assistée en Continu
CPI Corruption Perceptions Index
DAX Deutscher Aktien Index
ECN Electronic Communication Network
FSA Financial Services Authority
GDP Gross Domestic Product
GMM General Method of Moments
ICT Information and Communication Technology
IME Infor and Market Engineering
IPO Initial Public Offering
IT Information Technology
KIT Karlsruhe Institute of Technology
LSE London Stock Exchange
MiFID Markets in Financial Instruments Directive
MRR Madhavan, Richardson, and Roomans
MTF Multilateral Trading Facility
NIST National Institute of Standards and Technology
NMS N Market System
NYSE New York Stock Exchange
OLS Ordinary Least Squares
PNAC Primary News Access Code
RIC Reuters Instrument Code
RNSE Reuters NewsScope Sentiment Engine
SEC US Securities and Exchange Commission
SIRCA Securities Industry Research Centre of Asia-Pacific
SVM Support Vector Machine
TAQ Trade and Quote
TRBC Thomson Reuters Business Classification
TSX Toronto Stock Exchange
VAR Vector Autoregression
VMA Vector Moving Average
WFE World Federation of Exchanges
WSJ Wall Street Journal