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Language, news and volatility

Byström, Hans LU (2016) In Journal of International Financial Markets, Institutions, and Money 42. p.139-154
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.

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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Chinese, Language, News aggregator, Stock market, Volatility
in
Journal of International Financial Markets, Institutions, and Money
volume
42
pages
16 pages
publisher
North-Holland
external identifiers
  • Scopus:84962178581
ISSN
1042-4431
DOI
10.1016/j.intfin.2016.03.002
language
English
LU publication?
yes
id
0c0bb59a-a4d2-4cd1-9c2f-c099d6c069b8
date added to LUP
2016-04-28 10:48:45
date last changed
2016-09-13 16:18:50
@misc{0c0bb59a-a4d2-4cd1-9c2f-c099d6c069b8,
  abstract     = {<p>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.</p>},
  author       = {Byström, Hans},
  issn         = {1042-4431},
  keyword      = {Chinese,Language,News aggregator,Stock market,Volatility},
  language     = {eng},
  month        = {05},
  pages        = {139--154},
  publisher    = {ARRAY(0x8f33548)},
  series       = {Journal of International Financial Markets, Institutions, and Money},
  title        = {Language, news and volatility},
  url          = {http://dx.doi.org/10.1016/j.intfin.2016.03.002},
  volume       = {42},
  year         = {2016},
}