Figure 7

Relationship between topicality of news and market reaction. (a) Response of GM stock to news with high and low topicality. (b) Relationship between news topicality and market activity three minutes after the news. The solid (dashed) lines in (a) show the level of market activity when the topicality measure is above (below) the average. For IBM, PFE, AAPL, YHOO in (b), the market activity indicator is the average of the three indicators (number of transaction, transaction volume, and price volatility).