Seminario académico de Finanzas y Contabilidad: “News and network structures in equity market volatility”

14 de Julio, 13:00 horas. Sala P307.

Expone: Adam Clements, Queensland University of Technology in Brisbane.

Abstract:
An understanding of the linkages between assets is important in the context of market stability, and network analysis provides a natural framework within which to examine such linkages. While a great deal of research has focused on the impact of news on the volatility of a single asset, much less attention has been paid to the role of news in explaining the links between assets. This paper examines the impact of firm specific scheduled and unscheduled news arrivals on the interconnections at an individual firm and overall portfolio level within a network framework. It is found that the both the volume of unscheduled news and its associated sentiment are important drivers of the connectedness between individual stocks and the overall market structure. Scheduled news containing positive surprises reduces connectedness. Firms that experience negative news arrivals during periods of market stress become more centrally important within the market structure.