Title

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

Comments

Originally published as: Ho, K. Y., Shi, Y., & Zhang, Z. (2018). News and return volatility of Chinese bank stocks. International Review of Economics & Finance. Advanced online publication. Original publication available here

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

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