Research output per year
Research output per year
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.
| Original language | English |
|---|---|
| Pages (from-to) | 139-154 |
| Number of pages | 16 |
| Journal | Journal of International Financial Markets, Institutions, and Money |
| Volume | 42 |
| DOIs | |
| Publication status | Published - 2016 May 1 |
Subject classification (UKÄ)
- Economics
Free keywords
- Chinese
- Language
- News aggregator
- Stock market
- Volatility
Fingerprint
Dive into the research topics of 'Language, news and volatility'. Together they form a unique fingerprint.Research output
- 1 Working paper
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Language, News and Volatility
Byström, H., 2014, 43 p. (Working Papers; no. 2014:41).Research output: Working paper/Preprint › Working paper
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