TY - JOUR
T1 - Public information arrival and stock return volatility
T2 - evidence from news sentiment and Markov Regime-Switching approach
AU - Shi, Yanlin
AU - Ho, Kin Yip
AU - Liu, Wai Man
PY - 2016/3/1
Y1 - 2016/3/1
N2 - Using computational linguistic analysis of intraday firm-level news releases, this study models the relation between public information flows and stock volatility under different regimes. We analyze how the hourly return volatility of S&P100 stocks from 2000 to 2010 are linked to the various linguistics-based sentiment scores of the news releases, which are obtained from the RavenPack News Analytics Database. Results from the Markov Regime-Switching GARCH (MRS-GARCH) model indicate that firm-specific news sentiment is more significant in quantifying intraday volatility persistence in the calm (low-volatility) state than the turbulent (high-volatility) state. Furthermore, the impact of news sentiment differs across industries and firm size.
AB - Using computational linguistic analysis of intraday firm-level news releases, this study models the relation between public information flows and stock volatility under different regimes. We analyze how the hourly return volatility of S&P100 stocks from 2000 to 2010 are linked to the various linguistics-based sentiment scores of the news releases, which are obtained from the RavenPack News Analytics Database. Results from the Markov Regime-Switching GARCH (MRS-GARCH) model indicate that firm-specific news sentiment is more significant in quantifying intraday volatility persistence in the calm (low-volatility) state than the turbulent (high-volatility) state. Furthermore, the impact of news sentiment differs across industries and firm size.
KW - public information arrival
KW - stock return volatility
KW - news sentiment
KW - Markov Regime-Switching GARCH
UR - http://www.scopus.com/inward/record.url?scp=84958840070&partnerID=8YFLogxK
U2 - 10.1016/j.iref.2015.12.003
DO - 10.1016/j.iref.2015.12.003
M3 - Article
AN - SCOPUS:84958840070
SN - 1059-0560
VL - 42
SP - 291
EP - 312
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
ER -