Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach
Using computational linguistic analysis of intraday firm-level news releases, this study models the relation between public information flows and stock volatility under different regimes. We analyze how the hourly return volatility of S&P100 stocks from 2000 to 2010 are linked to the various linguistics-based sentiment scores of the news releases, which are obtained from the RavenPack News Analytics Database. Results from the Markov Regime-Switching GARCH (MRS-GARCH) model indicate that...[Show more]
|Collections||ANU Research Publications|
|Source:||International Review of Economics and Finance|
|01_Shi_Public_information_arrival_and_2016.pdf||465.16 kB||Adobe PDF||Request a copy|
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