The impact of sentiment and attention measures on stock market volatility

We analyze the impact of sentiment and attention variables on the stock market volatility by using a novel and extensive dataset that combines social media, news articles, information consumption, and search engine data. We apply a state-of-the-art sentiment classification technique in order to inve...

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Bibliographic Details

Published in:	International journal of forecasting Vol. 36; no. 2; pp. 334 - 357
Main Authors:	Audrino, Francesco, Sigrist, Fabio, Ballinari, Daniele
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.04.2020
Subjects:	High-dimensional regression Investor attention Investor sentiment Realized volatility Volatility prediction Investor sentiment High-dimensional regression Volatility prediction Realized volatility Investor attention
ISSN:	0169-2070, 1872-8200
Online Access:	Get full text
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