News and network structures in equity market volatility

No 110, NCER Working Paper Series from National Centre for Econometric Research

Abstract: An understanding of the linkages between assets is important for understanding the stability of markets. Network analysis provides a natural framework within which to examine such linkages. This paper examines the impact of firm specific news arrivals on the interconnections at an individual firm and overall portfolio level. While a great deal of research has focused on the impact of news on the volatility of a single asset, much less attention has been paid to the role of news in explaining the links between assets. It is found that the both the volume of news and its associated sentiment are important drivers the connectedness between individual stocks and the overall market structure. Firms that experience negative news arrivals during periods of market stress become more centrally important in the market structure.

Keywords: Networks; news; volatility; sentiment (search for similar items in EconPapers)
JEL-codes: C22 G00 (search for similar items in EconPapers)
Pages: 25 pages
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Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2016_01

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