Which sentiment index is more informative to forecast stock market volatility? Evidence from China
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DOI: 10.1016/j.irfa.2020.101552
Abstract: Abstract In this paper, we investigate the predictive ability of three sentiment indices constructed by social media, newspaper, and Internet media news to forecast the realized volatility (RV) of SSEC from in- and out-of-sample perspectives.… read more here.
Keywords: social media; volatility; sentiment indices; sentiment ... See more keywords