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Building news measures from textual data and an application to volatility forecasting
Caporin, Massimiliano; Poli, Francesco - In: Econometrics 5 (2017) 3, pp. 1-46
We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers … which to analyze the link between news and asset price dynamics. We detect the sentiment of news stories using a dictionary … and show that the model augmented with news-related variables provides superior forecasts. …
Persistent link: https://www.econbiz.de/10011995242
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ESSAYS ON NEWS AND ASSET PRICES
Sinha, Nitish Ranjan - 2010
The first essay examines news and the cross section of returns. Using a sentiment score provided by Thomson Reuters to … measure the tone of news articles, this paper examines monthly portfolio returns constructed from information about past news … articles. The sentiment score is obtained from the kind of words and phrases that are used in the news article. Positive tone …
Persistent link: https://www.econbiz.de/10009450776
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Technology news and their linkage to production of knowledge in robotics research
Mejía, Cristian; Kajikawa, Yuya - In: Technological forecasting & social change : an … 143 (2019), pp. 114-124
Persistent link: https://www.econbiz.de/10012133735
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Building news measures from textual data and an application to volatility forecasting
Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46
We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers … which to analyze the link between news and asset price dynamics. We detect the sentiment of news stories using a dictionary … and show that the model augmented with news-related variables provides superior forecasts. …
Persistent link: https://www.econbiz.de/10011711085
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Effects of the US stock market return and volatility on the VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 9 (2015) 2015-35, pp. 1-34
The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...
Persistent link: https://www.econbiz.de/10011379844
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10010326508
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Money growth and aggregate stock returns
Böing, Tobias; Stadtmann, Georg - 2016
We empirically evaluate the predictive power of money growth measured by M2 for stock returns of the S&P 500 index. We use monthly US data and predict multiperiod returns over 1, 3, and 5 years with long-horizon regressions. In-sample regressions show that money growth is useful for predicting...
Persistent link: https://www.econbiz.de/10011582284
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of Risk and Financial Management 6 (2013) 1, pp. 6-30
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...
Persistent link: https://www.econbiz.de/10011843238
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Contagion Testing in Embryonic Markets under Alternative Stressful US Market Scenarios
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019
We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...
Persistent link: https://www.econbiz.de/10012179828
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An object-oriented Bayesian framework for the detection of market drivers
De Giuli, Maria Elena; Greppi, Alessandro; Resta, Marina - In: Risks 7 (2019) 1, pp. 1-18
We use Object Oriented Bayesian Networks (OOBNs) to analyze complex ties in the equity market and to detect drivers for the Standard & Poor's 500 (S&P 500) index. To such aim, we consider a vast number of indicators drawn from various investment areas (Value, Growth, Sentiment, Momentum, and...
Persistent link: https://www.econbiz.de/10013200426