How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches

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dc.contributor.authorHo, Kin-Yip
dc.contributor.authorShi, Yanlin
dc.contributor.authorZhang, Zhaoyong
dc.date.accessioned2015-12-13T22:32:39Z
dc.date.issued2013
dc.date.updated2015-12-11T09:09:00Z
dc.description.abstractThis paper examines the dynamic relationship between firm-level return volatility and public news sentiment. By using the new RavenPack News Analytics - Dow Jones Edition database that captures over 1200 types of firm-specific and macroeconomic news relea
dc.identifier.issn1062-9408
dc.identifier.urihttp://hdl.handle.net/1885/75659
dc.publisherElsevier
dc.sourceNorth American Journal of Economics and Finance
dc.titleHow does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches
dc.typeJournal article
local.bibliographicCitation.lastpage456
local.bibliographicCitation.startpage436
local.contributor.affiliationHo, Kin-Yip, College of Business and Economics, ANU
local.contributor.affiliationShi, Yanlin, College of Business and Economics, ANU
local.contributor.affiliationZhang, Zhaoyong, Edith Cowan University
local.contributor.authoruidHo, Kin-Yip, u4867077
local.contributor.authoruidShi, Yanlin, u4497968
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150200 - BANKING, FINANCE AND INVESTMENT
local.identifier.absfor060208 - Terrestrial Ecology
local.identifier.ariespublicationf5625xPUB4733
local.identifier.citationvolume26
local.identifier.doi10.1016/j.najef.2013.02.015
local.identifier.scopusID2-s2.0-84888429425
local.identifier.thomsonID000328442700025
local.type.statusPublished Version

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