The Impact of Real-time News on Investors Trading Behaviors in the Futures and Stock Market * Yu-Chen Wei** Associate Professor, Department of Money and Banking, National First University of Science and Technology Abstract This study investigates the effect of real-time news on market reactions in the futures and underlying stock Market in Taiwan. The real-time news may bring about impacts in terms of market reactions especially in the Taiwan stock market, which is a shallow dish market with individual investors accounting for a higher degree of participation. The market reactions include the intraday returns, trading value (volume) and high-low range of intraday TAIEX and TAIEX futures. I apply content analysis in this study to quantify the news stories and multivariate proxies for the news sentiment tone are constructed and examined. News released during the trading hours avoids to be announced in a pessimistic style and seems to be more discriminable than news released during the non-trading periods. Regression analyses between news impacts and market reactions in TAIEX and TAIEX futures show that increasing (decreasing) news volume and news sentiment in the lag term may increase (decrease) market returns, decrease (increase) trading value/volume and decrease (increase) the fluctuation of high-low range. This study presents that news impacts have stronger influence to TAIEX futures than the impacts of news to TAIEX except for the market reaction of returns. Market participants could adjust the trading position more efficiently in TAIEX futures than in TAIEX when they receive any relevant information. This results in a relative weak relationship between news impacts and returns of TAIEX futures and strong relationship between news impacts and trading volume (high-low range) of TAIEX futures. Measurement of news impacts shows that news sentiment presents visible impacts to market reactions than just count the news volume. Investors, researchers and regulators in Taiwan stock market could measure the information content of news article by using the idea of net optimism relative to the total length to capture the news sentiment proposed in this study.

Keywords: real-time news, news sentiment, trading behavior, futures market, stock market. JEL：G14, G23, C32

* This study is supported by a project of the Ministry of Science and Technology in Taiwan (Grant number: MOST 103-2410-H-327-007). ** Yu-Chen Wei is an Associate Professor in the Department of Money and Banking at National Kaohsiung First University of Science and Technology, Kaohsiung, Taiwan. Email: [email protected]. No. 1 University Rd., Yanchao , Kaohsiung City 824, Taiwan, R.O.C.