Market distraction and near-zero daily volatility persistence

Jianxin Wang

International Review of Financial Analysis, 2022, vol. 80, issue C

Abstract: This study shows that during the FIFA World Cups, the Olympic Games, and Christmas and New Year, the average daily volatility persistence is near zero across 17 equity indices in 14 developed economies. The evidence indicates low information production by distracted financial analysts and journalists. Volatility persistence has seasonal variation that is high in January and October and low in June, consistent with seasonality in market attention. When attention seasonality is disrupted by unprecedented events in 2020–21, seasonality in volatility persistence is reversed. The seasonal variations in volatility persistence explain an average 8.7% of daily variations in volatility level across global markets.

Keywords: Volatility persistence; Analyst attention; Journalist attention; Market sentiment; Seasonality (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000023

DOI: 10.1016/j.irfa.2022.102022

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