Examination of Behavioral Divergence of Investors against the News through High-Frequency Trading Analyses

Abstract

While general investment behaviors on the news are comprehended through market movements, individual investor's actions are rarely observed. This research focused on stock trading on the October 31, 2014 and empirically analyzed investor behavior against the released news on that day. Records that we analyzed reflected High-Frequency Trading (HFT), so that we can target short-term investor behavior. As a result, divergence between principal and intermediary (agent) investment were determined as well as individual investment behavior.