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News and network structures in equity market volatility

Author

Listed:
  • Adam Clements

    (QUT)

  • Yin Liao

    (QUT)

Abstract

An understanding of the linkages between assets is important for understanding the stability of markets. Network analysis provides a natural framework within which to examine such linkages. This paper examines the impact of firm specific news arrivals on the interconnections at an individual firm and overall portfolio level. While a great deal of research has focused on the impact of news on the volatility of a single asset, much less attention has been paid to the role of news in explaining the links between assets. It is found that the both the volume of news and its associated sentiment are important drivers the connectedness between individual stocks and the overall market structure. Firms that experience negative news arrivals during periods of market stress become more centrally important in the market structure.

Suggested Citation

  • Adam Clements & Yin Liao, "undated". "News and network structures in equity market volatility," NCER Working Paper Series 110, National Centre for Econometric Research.
    • Handle: RePEc:qut:auncer:2016_01
    as

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    File URL: http://www.ncer.edu.au/papers/documents/WP110.pdf
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    References listed on IDEAS

    as
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    5. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011. "When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 321-340, March.
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    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G00 - Financial Economics - - General - - - General

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