Does the Chinese stock market react to global news?
(2011) In Journal of the Asia Pacific Economy 16(3). p.448-455- Abstract (Swedish)
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/2275922
- author
- Byström, Hans LU
- organization
- publishing date
- 2011
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- news aggregator, volatility, stock market, China, worldwide news
- in
- Journal of the Asia Pacific Economy
- volume
- 16
- issue
- 3
- pages
- 448 - 455
- publisher
- Taylor & Francis
- external identifiers
-
- wos:000299833500010
- scopus:79961070121
- ISSN
- 1354-7860
- DOI
- 10.1080/13547860.2011.589631
- language
- English
- LU publication?
- yes
- id
- e94e4464-3a4a-4297-9aeb-172f12f429ae (old id 2275922)
- date added to LUP
- 2016-04-01 14:05:07
- date last changed
- 2022-02-19 17:00:23
@article{e94e4464-3a4a-4297-9aeb-172f12f429ae,
abstract = {{<b>Abstract in Undetermined</b><br/><br>
In this paper, the news aggregator GoogleNews is used to assess the impact ofworldwide<br/><br>
news on the volatility of the Chinese stock market. Although we find a strong link<br/><br>
between the global stock market volatility and the amount of stock market-related news<br/><br>
available worldwide, the link between the Chinese stock market and the same set of<br/><br>
worldwide news is found to be much weaker. Diverging patterns for (domestic) A<br/><br>
shares and (international) B shares lead us to conclude that the direction of causality<br/><br>
most likely is from news volumes to volatility and not vice versa.}},
author = {{Byström, Hans}},
issn = {{1354-7860}},
keywords = {{news aggregator; volatility; stock market; China; worldwide news}},
language = {{eng}},
number = {{3}},
pages = {{448--455}},
publisher = {{Taylor & Francis}},
series = {{Journal of the Asia Pacific Economy}},
title = {{Does the Chinese stock market react to global news?}},
url = {{http://dx.doi.org/10.1080/13547860.2011.589631}},
doi = {{10.1080/13547860.2011.589631}},
volume = {{16}},
year = {{2011}},
}