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Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach

Shi, Yanlin; Ho, Kin-Yip; Liu, Wai-Man (Raymond)


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]

CollectionsANU Research Publications
Date published: 2016
Type: Journal article
Source: International Review of Economics and Finance
DOI: 10.1016/j.iref.2015.12.003


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