News intensity and asset returns: the case of currency volatility

Ilanit Avioz, Haim Kedar-Levy and Crina Pungulescu

Applied Economics Letters, 2025, vol. 32, issue 18, 2613-2618

Abstract: There are both theoretical reasons and empirical evidence for financial markets rewarding investors who put effort into acquiring relevant information. This article shows how a systematic approach of encoding text, ‘semantic fingerprinting’ can be applied to a set of news headlines from The Wall Street Journal to measure the ‘news intensity’ − the volume of relevant news − pertaining to three major currency indices: dollar, pound and euro. In a dataset that spans two decades, we find a persistently positive link between the ‘news intensity’ and the volatility of currency returns, that becomes significantly stronger in times of recession: ‘bad news’ tends to translate into higher volatility.

Date: 2025
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DOI: 10.1080/13504851.2024.2337321

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