Language, news and volatility
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/0c0bb59a-a4d2-4cd1-9c2f-c099d6c069b8
- author
- Byström, Hans LU
- organization
- publishing date
- 2016-05-01
- 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
- wos:000375125500010
- 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
- 2024-06-28 04:40:11
@article{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}}, keywords = {{Chinese; Language; News aggregator; Stock market; Volatility}}, language = {{eng}}, month = {{05}}, pages = {{139--154}}, publisher = {{North-Holland}}, 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}}, doi = {{10.1016/j.intfin.2016.03.002}}, volume = {{42}}, year = {{2016}}, }