Asymmetric Attention and Volatility Asymmetry

Dzieliński, Michał; Rieger, Marc Oliver; Talpsepp, Tõnn

doi:10.2139/ssrn.3030226

Cited by 1 publication

(2 citation statements)

References 47 publications

(39 reference statements)

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“…The study also shows that the function of good news in remarkably increasing equity return volatility more than bad news of similar weight increases with the rise in firm number of years from new to matured firms. In a recent study, Dzieliński et al (2018) analysed how asymmetric attention affects volatility asymmetry using daily stock returns of 7,133 U.S. stocks with over 16.5 million observations collected from the database of Center for Research in Security Prices for a period ranging from 1989 to 2007. The estimates from the asymmetric power GARCH model show that volatility asymmetry has positive relationship with differences of opinion and investor attention.…”

Section: Brief Literature Reviewmentioning

confidence: 99%

“…Many evidence-based studies have focused on the reaction of return volatility to changes in stock market news across the globe (Amit & Bammi, 2016; Braun et al, 1995; Dzieliński et al, 2018; Jegajeevana, 2012). The motivation for these studies is the need to understand the response of stock return volatility to news filtering into the stock market in order to assess their implication on equity investment.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

How Does News Affect Stock Return Volatility in a Frontier Market?

Emenike

Enock

2020

Management and Labour Studies

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Many empirical studies have analysed the effect of good news and bad news on equity market return volatility using both developed and emerging markets data, with scant literature for frontier stock markets. This study evaluates how news affects stock market return volatility in a frontier market using Uganda data. It specifically analyses the reaction of stock return volatility to news filtering into a frontier market using the exponential generalized autoregressive conditional heteroscedasticity (GARCH) model on daily data ranging from 1 September 2011 to 31 December 2017. Estimates of the shape parameter from generalized error distribution indicate the existence of leptokurtic return distribution. Results from the exponential GARCH model show that the effect of bad news and good news on the frontier market return volatility differs, thus suggesting existence of leverage effect in the period studied. Overall results from the study suggest that positive news impacts stock market returns volatility more than negative news of the same magnitude. An important implication of our results is that investors, analysts, brokers and dealers should be conscious of the nature of news filtering into the stock market as such information might improve their expected volatility forecast.

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Section: Brief Literature Reviewmentioning

confidence: 99%