Browsing ODA Open Digital Archive by Author "Sirnes, Espen"
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Measuring market volatility connectedness to media sentiment
Abdollahi, Hooman; Fjesme, Sturla Lyngnes; Sirnes, Espen (Peer reviewed; Journal article, 2024)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 ...