Abstract
Abstract in Undetermined
In this paper, the news aggregator GoogleNews is used to assess the impact ofworldwide
news on the volatility of the Chinese stock market. Although we find a strong link
between the global stock market volatility and the amount of stock market-related news
available worldwide, the link between the Chinese stock market and the same set of
worldwide news is found to be much weaker. Diverging patterns for (domestic) A
shares and (international) B shares lead us to conclude that the direction of causality
most likely is from news volumes to volatility and not vice versa.
In this paper, the news aggregator GoogleNews is used to assess the impact ofworldwide
news on the volatility of the Chinese stock market. Although we find a strong link
between the global stock market volatility and the amount of stock market-related news
available worldwide, the link between the Chinese stock market and the same set of
worldwide news is found to be much weaker. Diverging patterns for (domestic) A
shares and (international) B shares lead us to conclude that the direction of causality
most likely is from news volumes to volatility and not vice versa.
| Original language | English |
|---|---|
| Pages (from-to) | 448-455 |
| Journal | Journal of the Asia Pacific Economy |
| Volume | 16 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2011 |
Subject classification (UKÄ)
- Economics
Free keywords
- news aggregator
- volatility
- stock market
- China
- worldwide news