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The role of news-based implied volatility among US financial markets

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  1. Afees A. Salisu & Ibrahim D. Raheem & Godstime O. Eigbiremolen, 2022. "The behaviour of U.S. stocks to financial and health risks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4607-4618, October.
  2. Dutta, Anupam & Bouri, Elie & Saeed, Tareq, 2021. "News-based equity market uncertainty and crude oil volatility," Energy, Elsevier, vol. 222(C).
  3. Zhu, Xuehong & Niu, Zibo & Zhang, Hongwei & Huang, Jiaxin & Zuo, Xuguang, 2022. "Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach," Resources Policy, Elsevier, vol. 79(C).
  4. Seyedeh Fatemeh Razmi & Bahareh Ramezanian Bajgiran & Seyed Mohammad Javad Razmi & Kiana Baensaf Oroumieh, 2020. "The Effects of External Uncertainties against Monetary Policy Uncertainty on IRANIAN Stock Return Volatility Using GARCH-MIDAS Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 278-281.
  5. Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024. "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers 2404.01641, arXiv.org.
  6. Gupta, Rangan & Kollias, Christos & Papadamou, Stephanos & Wohar, Mark E., 2018. "News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets," Journal of Multinational Financial Management, Elsevier, vol. 47, pages 76-90.
  7. Carlos David Cardona-Arenas & Rafael Gómez-Gómez & Eliana Morales-Zuluaga, 2023. "COVID-19 and its short-term informational impact on the stock markets of the Pacific Alliance countries," SN Business & Economics, Springer, vol. 3(5), pages 1-23, May.
  8. Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020. "Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
  9. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
  10. Ben-Ahmed, Kais & Ayadi, Imen & Hamad, Salah Ben, 2022. "COVID-19 impact on digital companies’ stock return: A dynamic data analysis," Finance Research Letters, Elsevier, vol. 46(PA).
  11. Mei, Dexiang & Zeng, Qing & Cao, Xiang & Diao, Xiaohua, 2019. "Uncertainty and oil volatility: New evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 155-163.
  12. Krause, Timothy A., 2019. "Hedge fund returns and uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 597-601.
  13. Liu, Jing & Ma, Feng & Tang, Yingkai & Zhang, Yaojie, 2019. "Geopolitical risk and oil volatility: A new insight," Energy Economics, Elsevier, vol. 84(C).
  14. Faisal Nazir Zargar & Dilip Kumar, 2023. "Market fear, investor mood, sentiment, economic uncertainty and tourism sector in the United States amid COVID-19 pandemic: A spillover analysis," Tourism Economics, , vol. 29(2), pages 551-558, March.
  15. O-Chia Chuang & Chenxu Yang, 2022. "Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model," Energies, MDPI, vol. 15(8), pages 1-14, April.
  16. Yutaka Kurihara, 2018. "Occurred Uncertainty by ‘News’ in Japanese Short- and Long-Term Financial Markets," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 4(4), pages 93-98, 04-2018.
  17. Baig, Ahmed S. & Butt, Hassan Anjum & Haroon, Omair & Rizvi, Syed Aun R., 2021. "Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 38(C).
  18. Ruipeng Liu & Rangan Gupta, 2022. "Investors’ Uncertainty and Forecasting Stock Market Volatility," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(3), pages 327-337, July.
  19. Li, Sufang & Xu, Qiufan & Lv, Yixue & Yuan, Di, 2022. "Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis," Resources Policy, Elsevier, vol. 78(C).
  20. Francisco Jareño & Ana Escribano & Zaghum Umar, 2023. "The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
  21. Lang, Qiaoqi & Lu, Xinjie & Ma, Feng & Huang, Dengshi, 2022. "Oil futures volatility predictability: Evidence based on Twitter-based uncertainty," Finance Research Letters, Elsevier, vol. 47(PA).
  22. Fang, Tong & Su, Zhi & Yin, Libo, 2020. "Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility," International Review of Financial Analysis, Elsevier, vol. 71(C).
  23. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2023. "S&P 500 volatility, volatility regimes, and economic uncertainty," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1362-1387, October.
  24. Haroon, Omair & Rizvi, Syed Aun R., 2020. "COVID-19: Media coverage and financial markets behavior—A sectoral inquiry," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
  25. Zeng, Qing & Ma, Feng & Lu, Xinjie & Xu, Weiju, 2022. "Policy uncertainty and carbon neutrality: Evidence from China," Finance Research Letters, Elsevier, vol. 47(PB).
  26. Fang, Libing & Qian, Yichuo & Chen, Ying & Yu, Honghai, 2018. "How does stock market volatility react to NVIX? Evidence from developed countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 490-499.
  27. Chaturvedi, Priya & Kumar, Kuldeep, 2022. "Econometric modelling of exchange rate volatility using mixed-frequency data," MPRA Paper 115222, University Library of Munich, Germany.
  28. Feng Ma & Xinjie Lu & Lu Wang & Julien Chevallier, 2021. "Global economic policy uncertainty and gold futures market volatility: Evidence from Markov regime‐switching GARCH‐MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1070-1085, September.
  29. Su, Zhi & Fang, Tong & Yin, Libo, 2019. "Understanding stock market volatility: What is the role of U.S. uncertainty?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 582-590.
  30. Su, Zhi & Liu, Peng & Fang, Tong, 2022. "Uncertainty matters in US financial information spillovers: Evidence from a directed acyclic graph approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 229-242.
  31. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
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