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dc.contributor.authorAbdollahi, Hooman
dc.contributor.authorJunttila, Juha-Pekka
dc.contributor.authorLehkonen, Heikki
dc.date.accessioned2024-05-24T10:18:39Z
dc.date.available2024-05-24T10:18:39Z
dc.date.issued2024
dc.identifier.citationAbdollahi, 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.otherCONVID_213656980
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/95170
dc.description.abstractTo 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.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofseriesJournal of International Financial Markets, Institutions and Money
dc.rightsCC BY 4.0
dc.subject.othermarkets and media
dc.subject.othervolatility connectedness
dc.subject.othermarket clustering
dc.subject.otherpolitical news: large language model
dc.titleClustering asset markets based on volatility connectedness to political news
dc.typearticle
dc.identifier.urnURN:NBN:fi:jyu-202405243934
dc.contributor.laitosKauppakorkeakoulufi
dc.contributor.laitosSchool of Business and Economicsen
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.description.reviewstatuspeerReviewed
dc.relation.issn1873-0612
dc.relation.volume93
dc.type.versionpublishedVersion
dc.rights.copyright© 2024 the Authors
dc.rights.accesslevelopenAccessfi
dc.subject.ysokansainvälinen politiikka
dc.subject.ysovolatiliteetti
dc.subject.ysorahoitusmarkkinat
dc.subject.ysokielimallit
dc.subject.ysojoukkoviestimet
dc.subject.ysouutisointi
dc.subject.ysomarkkinat (taloustiede)
dc.subject.ysoklusterianalyysi
dc.format.contentfulltext
jyx.subject.urihttp://www.yso.fi/onto/yso/p5208
jyx.subject.urihttp://www.yso.fi/onto/yso/p10771
jyx.subject.urihttp://www.yso.fi/onto/yso/p7536
jyx.subject.urihttp://www.yso.fi/onto/yso/p40335
jyx.subject.urihttp://www.yso.fi/onto/yso/p856
jyx.subject.urihttp://www.yso.fi/onto/yso/p21431
jyx.subject.urihttp://www.yso.fi/onto/yso/p1865
jyx.subject.urihttp://www.yso.fi/onto/yso/p27558
dc.rights.urlhttps://creativecommons.org/licenses/by/4.0/
dc.relation.doi10.1016/j.intfin.2024.102004
dc.type.okmA1


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