reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on …

reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year … estimation of a VAR-GARCH model. The results can be summarised as follows. Negative news have significant positive effects on …

follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to …

. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to …