Login | Register

The news and stock market activity in Canada


The news and stock market activity in Canada

Zhang, Cheng (2006) The news and stock market activity in Canada. Masters thesis, Concordia University.

[thumbnail of MR20818.pdf]
Text (application/pdf)
MR20818.pdf - Accepted Version


This study explores the relationship between public information and Canadian stock market activity. Headlines of stories published by Canada Newswire from 1999 through 2003 were indexed and characterized by content and timing of release and then associated with measures of market activity, such as daily return, the number of transactions, and the volume of trade on the Toronto Stock Exchange, for both a broad index and individual companies. While strong patterns in the way news is released are not evident, there is systematic seasonal and daily variation. About 12% of the variation in the volume of trade and 3% of the variation in average daily return can be attributed to the flow of all news as measured by the number of stories released, but these numbers drop sharply when the flow of news is restricted to the number of headlines mentioning company names. The first finding suggests that news is uncertainty or divergence of opinion which results in more trade but the effect on the market is largely netted out. The second suggests that markets do respond to general news and not just firm-specific news, a vindication of sorts for market efficiency, but that most trade remains unexplained.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Zhang, Cheng
Pagination:v, 38 leaves ; 29 cm.
Institution:Concordia University
Degree Name:M. Sc. Admin.
Program:John Molson School of Business
Thesis Supervisor(s):Lypny, Gregory
Identification Number:LE 3 C66F56M 2006 Z43
ID Code:9000
Deposited By: Concordia University Library
Deposited On:18 Aug 2011 18:42
Last Modified:13 Jul 2020 20:05
Related URLs:
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Downloads per month over past year

Research related to the current document (at the CORE website)
- Research related to the current document (at the CORE website)
Back to top Back to top