Measuring market volatility connectedness to media sentiment
Peer reviewed, Journal article
Published version
Permanent lenke
https://hdl.handle.net/11250/3144550Utgivelsesdato
2024Metadata
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- Publikasjoner fra Cristin [3362]
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Originalversjon
The North American journal of economics and finance. 2024, 71 1-29. 10.1016/j.najef.2024.102091Sammendrag
We examine directional connectedness patterns from news and social media to financial market
volatility using textual analysis and high-frequency data. We find that media sentiment induces
market volatility, but the magnitude of that connectedness is time-varying. In addition, news and
social media sentiment pertinent to one market transmits volatility to other markets. Finally, we
find that sentiment transmits sharp shocks to markets during major events. At other times, there
are smaller spillover effects, indicating that the directional connectedness from sentiment to
markets follows a spiky pattern over time. We conclude that news and social media play an
important (but not constant) role in transmitting volatility across financial markets. This insight
explains earlier divergent findings in the literature.