Does continuous good news still mean good news for market volatility?

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-02-01 DOI:10.1016/j.frl.2024.106640

Shaobin Ding , Hongju Wang , Qin Sun

引用次数: 0

Abstract

Examining volatility asymmetry cyclically, volatility asymmetry may reverse in bull markets, volatility reacts more strongly to good news than to bad news, especially in emerging markets. We explain this phenomenon using extrapolated expectations: through extrapolated expectations, continuous good (bad) news amplifies asset price deviations from fundamentals, we modeled this for a more formal description. In the empirical analysis with Chinese data, we add the interaction term between extrapolated expected behavior and news shocks to the volatility equation, its coefficient is significantly positive in bull markets, suggesting extrapolated expectations amplify the impact of good news on volatility during bull markets.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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