Media attention and crude oil volatility: Is there any 'new' news in the newspaper?

J. Daniel Aromi and Adam Clements

No 118, NCER Working Paper Series from National Centre for Econometric Research

Abstract: In recent years there has been a growing interest in the analysis of large volumes of unscheduled news flow. Such news flow has often been used as an exogenous variable for explaining asset returns and or volatility. This paper examines the dynamic relationship between news flow and asset price dynamics from a different perspective. A novel index of media attention is proposed, and in the context of the crude oil market the linkages between media attention and returns and volatility are examined. It is found that media attention reacts strongly to shocks to volatility whereas there is little impact in the opposite direction. As such media attention seems to inherit the persistence in volatility but offers only a little more in terms of information relevant to future volatility. Therefore media attention does not offer a great deal of new news useful for explaining volatility.

Keywords: News; media; linguistic analysis; volatility; crude oil (search for similar items in EconPapers)
JEL-codes: C22 G00 (search for similar items in EconPapers)
Pages: 15
Date: 2018-03-20
New Economics Papers: this item is included in nep-cul and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2018_01

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