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COVID-19 pandemic news and stock market reaction during the onset of the crisis : evidence from high-frequency data

Ambros, Maximilian; Frenkel, Michael; Toan Luu Duc Huynh; … - In: Applied economics letters 28 (2021) 19, pp. 1686-1689

Persistent link: https://www.econbiz.de/10012652574

Analysis of the performance of volatility-based trading strategies on scheduled news announcement days : an international equity market perspective

López, Raquel; Esparcia, Carlos - In: International review of economics & finance : IREF 71 (2021), pp. 32-54

Persistent link: https://www.econbiz.de/10012627756

Impact of public news sentiment on stock market index return and volatility

Anese, Gianluca; Corazza, Marco; Costola, Michele; … - 2021

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...

Persistent link: https://www.econbiz.de/10012629835

COVID-19 containment measures and expected stock volatility : high-frequency evidence from selected advanced economies

Acharya, Viral V.; Liu, Yang; Zhao, Yunhui - 2021

We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies …-month-ahead volatility indices dropped following announcements of initial or re-imposed lockdowns, and that they did not drop significantly … following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally …

Persistent link: https://www.econbiz.de/10012612335

News sentiment and stock market volatility

Hsu, Yen-Ju; Lu, Yang-cheng; Yang, J. Jimmy - In: Review of quantitative finance and accounting 57 (2021) 3, pp. 1093-1122

Persistent link: https://www.econbiz.de/10012620049

COVID-19 containment measures and expected stock volatility : high-frequency evidence from selected advanced economies

Acharya, Viral V.; Liu, Yang; Zhao, Yunhui - In: Covid economics : vetted and real-time papers (2021) 79, pp. 1-40

Persistent link: https://www.econbiz.de/10012603005

Response of Stock Market Volatility to COVID-19 Announcements and Stringency Measures : A Comparison of Developed and Emerging Markets

Bakry, Walid; Kavalmthara, Peter John; Saverimuttu, Vivienne - 2021

interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and … differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these …

Persistent link: https://www.econbiz.de/10013217521

Examining the effects of news and media sentiments on volatility and correlation : evidence from the UK

Alomari, Mohammad; Al Rababa'a, Abdel Razzaq; El-Nader, … - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 280-297

Persistent link: https://www.econbiz.de/10013258478

Stock Market's responses to intraday investor sentiment

Seok, Sang Ik; Cho, Hoon; Ryu, Doojin - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013187639

No News Is Not Good News : Evidence from the Intraday Return Volatility - Volume Relationship in Shanghai Stock Exchange

Krishnamurti, Chandrasekhar - 2014

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange … during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with … the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is …

Persistent link: https://www.econbiz.de/10013060597