In this paper, we have examined stock market linkages between Greater China and the US and Japan in terms of volatility and price spillovers, yielding a few findings, with most of them either offering new evidence or challenging the results in the previous research, and the rest consolidating...

This paper explores the utilization of text data as a new α return resource for individual stock investment. In particular, we propose a new construction scheme of a polarity dictionary based on ChatGPT, a state-of-the-art language model, which is also directly used for sentiment analysis. Our...