Language, news and volatility

Hans Byström

Journal of International Financial Markets, Institutions and Money, 2016, vol. 42, issue C, 139-154

Abstract: 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.

Keywords: News aggregator; Language; Volatility; Stock market; Chinese (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Working Paper: Language, News and Volatility (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:42:y:2016:i:c:p:139-154

DOI: 10.1016/j.intfin.2016.03.002

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