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Language, news and volatility

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  • Byström, Hans

Abstract

I use Google News to study the relation between news volumes and stock market volatilities. More than nine million stock market-related news stories in English and Chinese are collected and the dynamics of the news volume and the stock market volatility is compared. I find that the stock market volatility and the number of publicly available global news stories are strongly linked in both languages. Furthermore, the directional link between news and volatility rather is from news to volatility than vice versa. In out-of-sample evaluations of volatility forecasts I find news volumes to improve forecasts, regardless of language.

Suggested Citation

  • Byström, Hans, 2016. "Language, news and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 139-154.
  • Handle: RePEc:eee:intfin:v:42:y:2016:i:c:p:139-154
    DOI: 10.1016/j.intfin.2016.03.002
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    References listed on IDEAS

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    More about this item

    Keywords

    News aggregator; Language; Volatility; Stock market; Chinese;

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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