News and return volatility of Chinese bank stocks
Document Type
Journal Article
Publication Title
International Review of Economics & Finance
Publisher
Elsevier
School
School of Business and Law
RAS ID
28096
Abstract
Using the comprehensive RavenPack Dow Jones News Analytics (DJNA) database that captures firm-specific news releases and their sentiment scores at high frequencies, we examine the contemporaneous correlation as well as the lead-lag relation between news and return volatility of major commercial banks listed on the Chinese stock market. Contrary to the Sequential Information Arrival Hypothesis (SIAH), most of the Chinese bank stocks do not exhibit significant lead-lag relations between news and volatility. However, there is substantial evidence that news is strongly correlated with return volatility in all the stocks, consistent with the Mixture of Distributions Hypothesis (MDH). Further analysis based on news sentiment scores suggests that positive news arrivals influence return volatility more strongly, compared with negative news. In addition, there is some evidence indicating that news arrivals contribute to the persistence in return volatility.
DOI
10.1016/j.iref.2018.12.003
Access Rights
subscription content
Comments
Ho, K. Y., Shi, Y., & Zhang, Z. (2018). News and return volatility of Chinese bank stocks. International Review of Economics & Finance, 69, 1095-1105.
https://doi.org/10.1016/j.iref.2018.12.003