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The high-frequency market reaction to intraday stock-specific news flow is examined over the period January 2000 to November 2011. Data on novelty, relevance, and direction of company-specific news for the ASX50 leading Australian stocks is garnered from the Ravenpack news analytics tool. Unconditional analysis of key variables around 484,440 news items discovers distinct responses in market activity, volatility, bid-ask spreads and returns. Classification of news according to indicated relevance is critical to identify significant effects. Reaction of market activity, volatility and spreads is greatest for negative news. These findings are confirmed when controlling for market dynamics and cross-dependencies between variables in a high-frequency VAR model.

Non-Scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence from the Australian Securities Exchange