News sentiment and stock market volatility

This study investigates the effect of news sentiment on stock market volatility using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and measures the asymmetric effect with the GJR-GARCH model. We adopt patented linguistic analysis that considers the semantic orientation...

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Veröffentlicht in:	Review of quantitative finance and accounting 2021-10, Vol.57 (3), p.1093-1122
Hauptverfasser:	Hsu, Yen-Ju, Lu, Yang-Cheng, Yang, J. Jimmy
Format:	Artikel
Sprache:	eng
Schlagworte:	Accounting/Auditing Corporate Finance Econometrics Economic crisis Economics and Finance Finance News Operations Research/Decision Theory Original Research Securities markets Stochastic models Volatility
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