This research examines the semi-strong efficiency of Bitcoin in the Bitstamp and Mt. Gox
markets, showing how the digital currency responds to monetary policy and Bitcoin events …

Geopolitical events are widely reported in the press and may influence the risk premium
demanded by investors in addition to demand and supply of energy resources. Using the …

Stock market average returns and Sharpe ratios are significantly higher on days when
important macroeconomic news about inflation, unemployment, or interest rates is …

The paper examines how various COVID-19 news sentiments differentially impact the
behaviour of cryptocurrency returns. We used a nonlinear technique of transfer entropy to …

In this paper, we develop semantic-based sentiment indices through relevant news and
Twitter feeds for oil market using a state-of-the-art natural language processing technique …

While global stock markets enjoy high returns on days surrounding Federal Open Market
Committee (FOMC) meetings, there is no comparable result for other central banks either …

In this paper we examine the predictive power of latent macroeconomic uncertainty on US
stock market volatility and jump tail risk. We find that increasing macroeconomic uncertainty …

This paper examines the dynamic relationship between firm-level return volatility and public
news sentiment. By using the new RavenPack News Analytics⿿ Dow Jones Edition …

What factors affect the volatility of a stock's price over time? What specific financial factors
lead a stock to be more volatile than others? This study attempts to identify the impact of …

We examine the effect of US and European news announcements on the spillover of
volatility across US and European stock markets. Using synchronously observed …