How does news sentiment affect the states of Japanese stock return volatility?
Lingbing Feng, Tong Fu, Yanlin Shi
| Year of publication: |
2022
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|---|---|
| Authors: | Feng, Lingbing ; Fu, Tong ; Shi, Yanlin |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 84.2022, p. 1-11
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| Subject: | Asset volatility | Japanese stock market | Multinomial model | News sentiment | Public information arrival | Regime-switching | Volatilität | Volatility | Japan | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Ankündigungseffekt | Announcement effect | Aktienmarkt | Stock market | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102267 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013472878