Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103372
Authors: 
Caporale, Guglielmo Maria
Spagnolo, Fabio
Spagnolo, Nicola
Year of Publication: 
2014
Series/Report no.: 
DIW Discussion Papers 1399
Abstract: 
This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation of a VAR-GARCH-in-mean model. The results can be summarised as follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a decrease in stock returns. Markets are particularly responsive to negative news, and the reaction is bigger in the PIIGS countries, and during the recent crisis period.
Subjects: 
Macro news
Volatility spillovers
VAR-GARCH-in-mean model
JEL: 
C32
F36
G15
Document Type: 
Working Paper

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