News sentiment and high-frequency volatility dynamics in the Japanese stock market

Kin Yip Ho*, Yanlin Shi, Zhaoyong Zhang

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

This chapter investigates the impact of high-frequency public news sentiment on intraday return volatility of the constituent stocks in the Tokyo Stock Exchange over the period from January 2000 to December 2012. By using textual and linguistic analytical techniques, we compute the various sentiment scores for all the intraday firm-specific news releases obtained from Dow Jones Newswires. The results show that intraday volatility persistence is significantly reduced after incorporating the effects of firm-specific news releases and their sentiment scores. Compared with positive news, the impact of news releases with negative sentiment on future intraday volatility levels is higher. These findings highlight the importance of public news sentiment on examining high-frequency volatility dynamics.

Original languageEnglish
Title of host publicationHandbook of Asian finance
Subtitle of host publicationREITs, trading, and fund performance
EditorsDavid Lee Kuo Chuen, Greg N. Gregoriou
Place of PublicationSan Diego, CA
PublisherElsevier
Chapter16
Pages285-308
Number of pages24
Volume2
ISBN (Electronic)9780128010631
ISBN (Print)9780128009864
DOIs
Publication statusPublished - 28 May 2014
Externally publishedYes

Keywords

  • FIGARCH
  • High-frequency volatility dynamics
  • Japanese stock market
  • Long memory
  • News sentiment

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    Ho, K. Y., Shi, Y., & Zhang, Z. (2014). News sentiment and high-frequency volatility dynamics in the Japanese stock market. In D. L. K. Chuen, & G. N. Gregoriou (Eds.), Handbook of Asian finance: REITs, trading, and fund performance (Vol. 2, pp. 285-308). San Diego, CA: Elsevier. https://doi.org/10.1016/B978-0-12-800986-4.00016-9