| Yazarlar (3) |
Erhan Muğaloğlu
Erciyes Üniversitesi, Türkiye |
|
Emrah Koçak
Erciyes Üniversitesi, Türkiye |
Prof. Dr. Ümit BULUT
Kırşehir Ahi Evran Üniversitesi, Türkiye |
| Özet |
| This study examines the impact of news intensity on stock market volatility in the US, focusing on large-cap, mid-cap and small-cap firms. A structural vector autoregression model (SVAR) with non-Gaussian disturbances is employed to capture extreme events and sudden jumps. Results indicate a significant negative relationship between news intensity and volatility, which strengthens over longer horizons. The implied volatility index (VIX), as well as mid-cap and small-cap stock volatilities, exhibit stronger and more persistent responses to news shocks compared to large-cap stock volatility. These findings suggest that greater news flow can reduce uncertainty and speculative behavior, especially among smaller firms more sensitive to information shocks. |
| Anahtar Kelimeler |
| News intensity | Non-gaussian disturbances | Stock market volatility | Structural vector autoregression |
| Makale Türü | Özgün Makale |
| Makale Alt Türü | SSCI, AHCI, SCI, SCI-Exp dergilerinde yayınlanan tam makale |
| Dergi Adı | Finance Research Letters |
| Dergi ISSN | 1544-6123 Wos Dergi Scopus Dergi |
| Dergi Tarandığı Indeksler | SSCI |
| Dergi Grubu | Q1 |
| Makale Dili | İngilizce |
| Basım Tarihi | 12-2025 |
| Cilt No | 86 |
| Sayı | 1 |
| Sayfalar | 1 / 9 |
| Doi Numarası | 10.1016/j.frl.2025.108359 |
| Makale Linki | https://doi.org/10.1016/j.frl.2025.108359 |
| Atıf Sayıları |
