Clustering asset markets based on volatility connectedness to political news

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Journal of International Financial Markets Institutions & Money Pub Date : 2024-05-13 DOI:10.1016/j.intfin.2024.102004
Hooman Abdollahi , Juha-Pekka Junttila , Heikki Lehkonen
{"title":"Clustering asset markets based on volatility connectedness to political news","authors":"Hooman Abdollahi ,&nbsp;Juha-Pekka Junttila ,&nbsp;Heikki Lehkonen","doi":"10.1016/j.intfin.2024.102004","DOIUrl":null,"url":null,"abstract":"<div><p>To assess similarities in international asset markets’ responses to political news, we construct a political news index using advanced natural language processing. We then examine how the volatility across international asset markets is connected to the development of our political news index by measuring the daily directional connectedness using a VAR-based framework. Finally, we apply an unsupervised algorithm to cluster markets based on their volatility connectedness to political news. Our analysis reveals eight distinct clusters that reflect the markets’ sensitivities to political dynamics. This data-driven analysis offers insights into the influence of political developments on market volatility.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4000,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000702/pdfft?md5=0390d1bdd291a45bd0d186f3fef5824a&pid=1-s2.0-S1042443124000702-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Markets Institutions & Money","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042443124000702","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

To assess similarities in international asset markets’ responses to political news, we construct a political news index using advanced natural language processing. We then examine how the volatility across international asset markets is connected to the development of our political news index by measuring the daily directional connectedness using a VAR-based framework. Finally, we apply an unsupervised algorithm to cluster markets based on their volatility connectedness to political news. Our analysis reveals eight distinct clusters that reflect the markets’ sensitivities to political dynamics. This data-driven analysis offers insights into the influence of political developments on market volatility.

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
根据波动与政治新闻的关联性对资产市场进行分类
为了评估国际资产市场对政治新闻反应的相似性,我们利用先进的自然语言处理技术构建了政治新闻指数。然后,我们通过使用基于 VAR 的框架测量每日方向关联性,研究国际资产市场的波动性如何与政治新闻指数的发展相关联。最后,我们采用无监督算法,根据市场波动与政治新闻的关联性对市场进行分组。我们的分析揭示了八个不同的集群,它们反映了市场对政治动态的敏感性。这一数据驱动的分析为我们提供了有关政治发展对市场波动性影响的见解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
期刊最新文献
Forecasting exchange rate volatility: An amalgamation approach Firm biodiversity risk, climate vulnerabilities, and bankruptcy risk Asymmetric Higher-Moment spillovers between sustainable and traditional investments Organization capital, dividends and firm value: International evidence CEO age and corporate environmental policies
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1