Volatility asymmetry, news, and private investors

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

doi:10.1002/9781118467411.ch11

Cited by 21 publications

(10 citation statements)

References 18 publications

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“…They were used to predict sales (Choi and Varian (2009b)), jobless claims (Choi and Varian (2009a)), flu outbreaks (Dukic et al (2009)), individual investors' demand and IPO returns (Da et al (forthcoming)) as well as modeling volatility asymmetry (Dzielinski et al (2011)). This paper bears most direct resemblance to Da et al (2010) where principal component analysis is applied to a number of economy-related search terms and the resulting index is said to capture investor sentiment.…”

Section: Introductionmentioning

confidence: 99%

Measuring economic uncertainty and its impact on the stock market

Dzieliński

2012

Finance Research Letters

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193

102

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This paper proposes a novel measure of economic uncertainty based on the frequency of internet searches. The theoretical motivation is offered by findings in economic psychology that agents respond to increased uncertainty by intensifying their information search. The main advantages of using internet searches are broad reach, timeliness and the fact that they reflect actions, rather than words, which however are not directly related to the stock market. The search-based uncertainty measure compares well against a peer group of alternative indicators and is shown to have a significant relationship with aggregate stock returns and volatility. Abstract: This paper proposes a novel measure of economic uncertainty based on the frequency of internet searches. The theoretical motivation is offered by findings in economic psychology that agents respond to increased uncertainty by intensifying their information search. The main advantages of using internet searches are broad reach, timeliness and the fact that they reflect actions, rather than words, which however are not directly related to the stock market. The search-based uncertainty measure compares well against a peer group of alternative indicators and is shown to have a significant relationship with aggregate stock returns and volatility.Measuring economic uncertainty and its impact on the stock market. AbstractThis paper proposes a novel measure of economic uncertainty based on the frequency of internet searches. The theoretical motivation is offered by findings in economic psychology that agents respond to increased uncertainty by intensifying their information search. The main advantages of using internet searches are broad reach, timeliness and the fact that they reflect actions, rather than words, which however are not directly related to the stock market. The search-based uncertainty measure compares well against a peer group of alternative indicators and is shown to have a significant relationship with aggregate stock returns and volatility.

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Section: Introductionmentioning

confidence: 99%

Measuring economic uncertainty and its impact on the stock market

Dzieliński

2012

Finance Research Letters

Self Cite

193

102

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“…Reference [14] factors and show that a higher level of economic development and market efficiency is coupled with a higher level of volatility asymmetry. In the equity markets asymmetry is generally found to be larger for aggregate market index returns than for individual stocks [15].…”

Section: Related Literaturementioning

confidence: 99%

Local Currency Effect on Volatility Asymmetry in AsianStock Markets

Talpsepp¹

2012

IJTEF

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Abstract-The aim of the paper is to study the effect of currency exchange rate changes on the stock market volatility asymmetry, based on the 14 country sample of Asian markets. We calculate time series of stock market volatility asymmetry using APARCH model and using both local currency returns and the USD returns to compare the results. We use standard statistical tests along with wavelet methods to compare the obtained time series estimates of the volatility asymmetry. We find that the effect from the exchange rates to the equity market volatility asymmetry is statistically not significant but short periods exist when currency rates can affect equity market volatility asymmetry.Index Terms-APARHC model, exchange rate effect, volatility asymmetry, wavelet models.

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“…Other research on this topic argues that news items from different sources influence investor sentiment, which feeds into asset prices, asset price volatility and risk (see, among others, Tetlock [11] Tetlock, Macskassy and Saar-Tsechansky [12] (2008), Da, Engleberg and Gao, [13], Barber and Odean [14], diBartolomeo and Warrick [15], Mitra, Mitra and diBartolomeo [16], and Dzielinski, Rieger and Talpsepp [17]. The diversification benefits of the information impounded in news sentiment scores provided by RavenPack were demonstrated by Cahan, Jussa and Luo [18], and Hafez and Xie [19], who examined the benefits in the context of popular asset pricing models.…”

Section: Introductionmentioning

confidence: 99%

Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany

Allen

McAleer

2019

Sustainability

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This paper features an analysis of President Trump’s two State of the Union addresses, which are analysed by means of various data mining techniques, including sentiment analysis. The intention is to explore the contents and sentiments of the messages contained, the degree to which they differ, and their potential implications for the national mood and state of the economy. We also apply Zipf and Mandelbrot’s power law to assess the degree to which they differ from common language patterns. To provide a contrast and some parallel context, analyses are also undertaken of President Obama’s last State of the Union address and Hitler’s 1933 Berlin Proclamation. The structure of these four political addresses is remarkably similar. The three US Presidential speeches are more positive emotionally than is Hitler’s relatively shorter address, which is characterised by a prevalence of negative emotions. Hitler’s speech deviates the most from common speech, but all three appear to target their audiences by use of non-complex speech. However, it should be said that the economic circumstances in contemporary America and Germany in the 1930s are vastly different.

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Volatility asymmetry, news, and private investors

Cited by 21 publications

References 18 publications

Measuring economic uncertainty and its impact on the stock market

Measuring economic uncertainty and its impact on the stock market

Local Currency Effect on Volatility Asymmetry in AsianStock Markets

Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany

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