Clustering asset markets based on volatility connectedness to political news
| dc.contributor.author | Abdollahi, Hooman | |
| dc.contributor.author | Junttila, Juha-Pekka | |
| dc.contributor.author | Lehkonen, Heikki | |
| dc.date.accessioned | 2024-05-24T10:18:39Z | |
| dc.date.available | 2024-05-24T10:18:39Z | |
| dc.date.issued | 2024 | |
| dc.identifier.citation | Abdollahi, H., Junttila, J.-P., & Lehkonen, H. (2024). Clustering asset markets based on volatility connectedness to political news. <i>Journal of International Financial Markets, Institutions and Money</i>, <i>93</i>, Article 102004. <a href="https://doi.org/10.1016/j.intfin.2024.102004" target="_blank">https://doi.org/10.1016/j.intfin.2024.102004</a> | |
| dc.identifier.other | CONVID_213656980 | |
| dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/95170 | |
| dc.description.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. | en |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | eng | |
| dc.publisher | Elsevier | |
| dc.relation.ispartofseries | Journal of International Financial Markets, Institutions and Money | |
| dc.rights | CC BY 4.0 | |
| dc.subject.other | markets and media | |
| dc.subject.other | volatility connectedness | |
| dc.subject.other | market clustering | |
| dc.subject.other | political news: large language model | |
| dc.title | Clustering asset markets based on volatility connectedness to political news | |
| dc.type | research article | |
| dc.identifier.urn | URN:NBN:fi:jyu-202405243934 | |
| dc.contributor.laitos | Kauppakorkeakoulu | fi |
| dc.contributor.laitos | School of Business and Economics | en |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
| dc.type.coar | http://purl.org/coar/resource_type/c_2df8fbb1 | |
| dc.description.reviewstatus | peerReviewed | |
| dc.relation.issn | 1873-0612 | |
| dc.relation.volume | 93 | |
| dc.type.version | publishedVersion | |
| dc.rights.copyright | © 2024 the Authors | |
| dc.rights.accesslevel | openAccess | fi |
| dc.type.publication | article | |
| dc.subject.yso | kansainvälinen politiikka | |
| dc.subject.yso | volatiliteetti | |
| dc.subject.yso | rahoitusmarkkinat | |
| dc.subject.yso | kielimallit | |
| dc.subject.yso | joukkoviestimet | |
| dc.subject.yso | uutisointi | |
| dc.subject.yso | markkinat (taloustiede) | |
| dc.subject.yso | klusterianalyysi | |
| dc.format.content | fulltext | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p5208 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p10771 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p7536 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p40335 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p856 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p21431 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p1865 | |
| jyx.subject.uri | http://www.yso.fi/onto/yso/p27558 | |
| dc.rights.url | https://creativecommons.org/licenses/by/4.0/ | |
| dc.relation.doi | 10.1016/j.intfin.2024.102004 | |
| dc.type.okm | A1 |
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