Asymmetric News Responses of High-Frequency and Non-High-Frequency TradersCitation formats

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Asymmetric News Responses of High-Frequency and Non-High-Frequency Traders. / Zhang, Sarah.

In: The Financial Review (Statesboro), 2019.

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@article{d767a79f7a32446eb06ebae1e929a12a,
title = "Asymmetric News Responses of High-Frequency and Non-High-Frequency Traders",
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.",
keywords = "high-frequency trading, news, information processing, financial crisis",
author = "Sarah Zhang",
year = "2019",
doi = "10.1111/fire.12200",
language = "English",
journal = "The Financial Review (Statesboro)",
issn = "0732-8516",
publisher = "John Wiley & Sons Ltd",

}

RIS

TY - JOUR

T1 - Asymmetric News Responses of High-Frequency and Non-High-Frequency Traders

AU - Zhang, Sarah

PY - 2019

Y1 - 2019

N2 - 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.

AB - 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.

KW - high-frequency trading

KW - news

KW - information processing

KW - financial crisis

U2 - 10.1111/fire.12200

DO - 10.1111/fire.12200

M3 - Article

JO - The Financial Review (Statesboro)

JF - The Financial Review (Statesboro)

SN - 0732-8516

ER -