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Language, news and volatility

In English

Författare

Summary, in English

I use Google News to study the relation between news volumes and stock market volatilities. More than nine million stock market-related news stories in English and Chinese are collected and the dynamics of the news volume and the stock market volatility is compared. I find that the stock market volatility and the number of publicly available global news stories are strongly linked in both languages. Furthermore, the directional link between news and volatility rather is from news to volatility than vice versa. In out-of-sample evaluations of volatility forecasts I find news volumes to improve forecasts, regardless of language.

Publiceringsår

2016-05-01

Språk

Engelska

Sidor

139-154

Publikation/Tidskrift/Serie

Journal of International Financial Markets, Institutions, and Money

Volym

42

Dokumenttyp

Artikel i tidskrift

Förlag

North-Holland

Ämne

  • Economics

Nyckelord

  • Chinese
  • Language
  • News aggregator
  • Stock market
  • Volatility

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 1042-4431