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Media attention and crude oil volatility: Is there any 'new' news in the newspaper?

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  • D Aromi
  • A Clements

Abstract

In recent years there has been a growing interest in the analysis of large volumes of unscheduled news flow. Such news flow has often been used as an exogenous variable for explaining asset returns and or volatility. This paper examines the dynamic relationship between news flow and asset price dynamics from a different perspective. A novel index of media attention is proposed, and in the context of the crude oil market the linkages between media attention and returns and volatility are examined. It is found that media attention reacts strongly to shocks to volatility whereas there is little impact in the opposite direction. As such media attention seems to inherit the persistence in volatility but offers only a little more in terms of information relevant to future volatility. Therefore media attention does not offer a great deal of new news useful for explaining volatility.

Suggested Citation

  • D Aromi & A Clements, 2018. "Media attention and crude oil volatility: Is there any 'new' news in the newspaper?," NCER Working Paper Series 118, National Centre for Econometric Research.
    • Handle: RePEc:qut:auncer:2018_01
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    File URL: http://www.ncer.edu.au/papers/documents/WP118.pdf
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    More about this item

    Keywords

    News; media; linguistic analysis; volatility; crude oil;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G00 - Financial Economics - - General - - - General

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