The relation between news events and stock price jump: An analysis based on neural network

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dc.contributor.authorWang, Wanbinen
dc.contributor.authorHo, Kin Yipen
dc.contributor.authorLiu, Wai Manen
dc.contributor.authorWang, Kunen
dc.date.accessioned2026-01-01T17:41:43Z
dc.date.available2026-01-01T17:41:43Z
dc.date.issued2013en
dc.description.abstractThe efficient-market hypothesis states that price movements are extremely efficient in reflecting information flows. Some studies have shown that stock prices are related to news events such as earnings announcements, political events and corporate takeovers, while others have failed to find convincing evidence to relate price changes to news. The aim of this study is to explore the relation between news and abnormal financial market volatility. We first investigate the Granger causality between news and stock returns. Our results show that stock price change is the Granger cause of news volume and news sentiment; news volume is not the Granger cause of stock price change while news sentiment is the Granger cause of stock price change. Moreover, we utilize an artificial neural network model to predict stock market collapses by using different volatility parameters. The findings from this study will further our understanding of stock price movements and the reasons for stock market collapses.en
dc.description.statusPeer-revieweden
dc.format.extent6en
dc.identifier.isbn9780987214331en
dc.identifier.otherORCID:/0000-0003-2752-3891/work/171153480en
dc.identifier.otherORCID:/0000-0002-2111-9487/work/171156322en
dc.identifier.scopus84957604316en
dc.identifier.urihttps://hdl.handle.net/1885/733801826
dc.language.isoenen
dc.publisherModelling and Simulation Society of Australia and New Zealand Inc (MSSANZ)en
dc.relation.ispartofProceedings - 20th International Congress on Modelling and Simulation, MODSIM 2013en
dc.relation.ispartofseries20th International Congress on Modelling and Simulation - Adapting to Change: The Multiple Roles of Modelling, MODSIM 2013 - Held jointly with the 22nd National Conference of the Australian Society for Operations Research, ASOR 2013 and the DSTO led Defence Operations Research Symposium, DORS 2013en
dc.relation.ispartofseriesProceedings - 20th International Congress on Modelling and Simulation, MODSIM 2013en
dc.rightsPublisher Copyright: © International Congress on Modelling and Simulation, MODSIM 2013.All right reserved.en
dc.subjectGranger causalityen
dc.subjectNeural networken
dc.subjectNews sentimenten
dc.subjectStock price jumpen
dc.titleThe relation between news events and stock price jump: An analysis based on neural networken
dc.typeConference paperen
dspace.entity.typePublicationen
local.bibliographicCitation.lastpage1411en
local.bibliographicCitation.startpage1406en
local.contributor.affiliationWang, Wanbin; Australian National Universityen
local.contributor.affiliationHo, Kin Yip; Research School of Finance, Actuarial Studies and Statistics, Research School of Finance, Actuarial Studies & Statistics, ANU College of Business & Economics, The Australian National Universityen
local.contributor.affiliationLiu, Wai Man; Research School of Finance, Actuarial Studies and Statistics, Research School of Finance, Actuarial Studies & Statistics, ANU College of Business & Economics, The Australian National Universityen
local.contributor.affiliationWang, Kun; The Australian National Universityen
local.identifier.purea215d0c1-79aa-4cd6-8fbf-edd4bea83349en
local.identifier.urlhttps://www.scopus.com/pages/publications/84957604316en
local.type.statusPublisheden

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