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

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.

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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。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

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.

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