Is bad news cause of asymmetric volatility response? A note
AbstractThis article uses a direct test of the impact of economic news on stock volatility. The main interest is to test whether the asymmetric response of volatility can be due to the effect of bad news. To do this, this study takes items of news into account as exogenous variables. The analysis is divided into two stages, each of which uses different items of news as exogenous variables additional to the information provided by the residuals. The first stage uses more exhaustively classified information whereas the second considers daily information as a global sign. This study finds that bad news is responsible for most of the observed asymmetric behaviour of variance. Further, this study detects that the GJR model adequately captures the impact of bad news when traders are not ready to carry out a time-consuming analysis of the information.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 34 (2002)
Issue (Month): 10 ()
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- Blasco, Natividad & Corredor, Pilar & Del Rio, Cristina & Santamaria, Rafael, 2005. "Bad news and Dow Jones make the Spanish stocks go round," European Journal of Operational Research, Elsevier, vol. 163(1), pages 253-275, May.
- Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003. "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers 0308, Universidade de Vigo, Departamento de Economía Aplicada.
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