News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market

Kin Yip Ho; Yanlin Shi; Zhaoyong Zhang

doi:10.1016/B978-0-12-800986-4.00016-9

News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market

Kin Yip Ho^*, Yanlin Shi, Zhaoyong Zhang

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

This chapter investigates the impact of high-frequency public news sentiment on intraday return volatility of the constituent stocks in the Tokyo Stock Exchange over the period from January 2000 to December 2012. By using textual and linguistic analytical techniques, we compute the various sentiment scores for all the intraday firm-specific news releases obtained from Dow Jones Newswires. The results show that intraday volatility persistence is significantly reduced after incorporating the effects of firm-specific news releases and their sentiment scores. Compared with positive news, the impact of news releases with negative sentiment on future intraday volatility levels is higher. These findings highlight the importance of public news sentiment on examining high-frequency volatility dynamics.

Original language	English
Title of host publication	Handbook of Asian Finance
Subtitle of host publication	REITs, Trading, and Fund Performance
Publisher	Elsevier Inc.
Pages	285-308
Number of pages	24
Volume	2
ISBN (Electronic)	9780128010631
ISBN (Print)	9780128009864
DOIs	https://doi.org/10.1016/B978-0-12-800986-4.00016-9
Publication status	Published - 28 May 2014

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title = "News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market",

abstract = "This chapter investigates the impact of high-frequency public news sentiment on intraday return volatility of the constituent stocks in the Tokyo Stock Exchange over the period from January 2000 to December 2012. By using textual and linguistic analytical techniques, we compute the various sentiment scores for all the intraday firm-specific news releases obtained from Dow Jones Newswires. The results show that intraday volatility persistence is significantly reduced after incorporating the effects of firm-specific news releases and their sentiment scores. Compared with positive news, the impact of news releases with negative sentiment on future intraday volatility levels is higher. These findings highlight the importance of public news sentiment on examining high-frequency volatility dynamics.",

keywords = "FIGARCH, High-frequency volatility dynamics, Japanese stock market, Long memory, News sentiment",

author = "Ho, {Kin Yip} and Yanlin Shi and Zhaoyong Zhang",

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T1 - News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market

AU - Ho, Kin Yip

AU - Shi, Yanlin

AU - Zhang, Zhaoyong

PY - 2014/5/28

Y1 - 2014/5/28

N2 - This chapter investigates the impact of high-frequency public news sentiment on intraday return volatility of the constituent stocks in the Tokyo Stock Exchange over the period from January 2000 to December 2012. By using textual and linguistic analytical techniques, we compute the various sentiment scores for all the intraday firm-specific news releases obtained from Dow Jones Newswires. The results show that intraday volatility persistence is significantly reduced after incorporating the effects of firm-specific news releases and their sentiment scores. Compared with positive news, the impact of news releases with negative sentiment on future intraday volatility levels is higher. These findings highlight the importance of public news sentiment on examining high-frequency volatility dynamics.

AB - This chapter investigates the impact of high-frequency public news sentiment on intraday return volatility of the constituent stocks in the Tokyo Stock Exchange over the period from January 2000 to December 2012. By using textual and linguistic analytical techniques, we compute the various sentiment scores for all the intraday firm-specific news releases obtained from Dow Jones Newswires. The results show that intraday volatility persistence is significantly reduced after incorporating the effects of firm-specific news releases and their sentiment scores. Compared with positive news, the impact of news releases with negative sentiment on future intraday volatility levels is higher. These findings highlight the importance of public news sentiment on examining high-frequency volatility dynamics.

KW - FIGARCH

KW - High-frequency volatility dynamics

KW - Japanese stock market

KW - Long memory

KW - News sentiment

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VL - 2

SP - 285

EP - 308

BT - Handbook of Asian Finance

PB - Elsevier Inc.

ER -

News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market

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