Big data implementation recently attracts public’s attentions. This study attempts to investigate market reactions to big data implementation announcement by using an event study methodology. Using a sample of 40 companies with big data implementation announcement, we show that, preliminarily, such announcement does not provide value relevant information to the capital market which result in an insignificant stock price reaction. This is the first study to gauge the impact of big data implementation announcements on the market value of firms and investigate how various contextual factors may affect the abnormal returns. Implications are discussed.