News intensity and volatility dynamics in large- and small-cap stocks: A non-gaussian SVAR approach

MUĞALOĞLU E., KOÇAK E., BULUT Ü.

FINANCE RESEARCH LETTERS, cilt.86, 2025 (SSCI, Scopus) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 86
  • Basım Tarihi: 2025
  • Doi Numarası: 10.1016/j.frl.2025.108359
  • Dergi Adı: FINANCE RESEARCH LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Anahtar Kelimeler: News intensity, Stock market volatility, Non-gaussian disturbances, Structural vector autoregression
  • Erciyes Üniversitesi Adresli: Evet

Özet

This study examines the impact of news intensity on stock market volatility in the US, focusing on large-cap, mid-cap and small-cap firms. A structural vector autoregression model (SVAR) with non-Gaussian disturbances is employed to capture extreme events and sudden jumps. Results indicate a significant negative relationship between news intensity and volatility, which strengthens over longer horizons. The implied volatility index (VIX), as well as mid-cap and small-cap stock volatilities, exhibit stronger and more persistent responses to news shocks compared to large-cap stock volatility. These findings suggest that greater news flow can reduce uncertainty and speculative behavior, especially among smaller firms more sensitive to information shocks.