The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Language, news and volatility

På svenska

Author

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.

Publishing year

2016-05-01

Language

English

Pages

139-154

Publication/Series

Journal of International Financial Markets, Institutions, and Money

Volume

42

Document type

Journal article

Publisher

North-Holland

Topic

  • Economics

Keywords

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

Status

Published

ISBN/ISSN/Other

  • ISSN: 1042-4431