Media-expressed tone, option characteristics, and stock return predictability
Journal
Journal of Economic Dynamics & Control
Date Issued
2022-01
Author(s)
Abstract (De)
In highly integrated markets, news spreads at a fast pace and bedevils risk monitoring and optimal asset allocation. We therefore propose global and disaggregated measures of variance transmission that allow one to assess spillovers locally in time. Key to our approach is the vector ARMA representation of the second-order dynamics of the popular BEKK model. In an empirical application to a four-dimensional system of US asset classes – equity, fixed income, foreign exchange and commodities – we illustrate the second-order transmissions at various levels of (dis)aggregation. Moreover, we demonstrate that the proposed spillover indices are informative on the value-at-risk violations of portfolios composed of the considered asset classes.
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
Yes
Publisher
Elsevier
Publisher place
Amsterdam
Volume
104290
Number
134
Pages
22
Eprints ID
269666