Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach
Yanlin Shi, Kin-Yip Ho, Wai-Man Liu
| Year of publication: |
March 2016
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|---|---|
| Authors: | Shi, Yanlin ; Ho, Kin-Yip ; Liu, Wai-man |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 42.2016, p. 291-312
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| Subject: | Public information arrival | Stock return volatility | News sentiment | Markov Regime-Switching GARCH | Volatilität | Volatility | Markov-Kette | Markov chain | Börsenkurs | Share price | ARCH-Modell | ARCH model | Schätzung | Estimation | Kapitaleinkommen | Capital income | Informationsverbreitung | Information dissemination | Ankündigungseffekt | Announcement effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.12.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011625119