Show simple item record

dc.contributor.authorAbdollahi, Hooman
dc.contributor.authorFjesme, Sturla Lyngnes
dc.contributor.authorSirnes, Espen
dc.date.accessioned2024-08-06T06:04:32Z
dc.date.available2024-08-06T06:04:32Z
dc.date.created2024-02-26T13:26:03Z
dc.date.issued2024
dc.identifier.citationThe North American journal of economics and finance. 2024, 71 1-29.en_US
dc.identifier.issn1062-9408
dc.identifier.urihttps://hdl.handle.net/11250/3144550
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.no*
dc.titleMeasuring market volatility connectedness to media sentimenten_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.description.versionpublishedVersionen_US
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode1
dc.identifier.doi10.1016/j.najef.2024.102091
dc.identifier.cristin2249793
dc.source.journalThe North American journal of economics and financeen_US
dc.source.volume71en_US
dc.source.pagenumber1-29en_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Navngivelse 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse 4.0 Internasjonal