News intensity and volatility dynamics in large- and small-cap stocks: A non-gaussian SVAR approach
FINANCE RESEARCH LETTERS, vol.86, 2025 (SSCI, Scopus)
- Publication Type: Article / Article
- Volume: 86
- Publication Date: 2025
- Doi Number: 10.1016/j.frl.2025.108359
- Journal Name: FINANCE RESEARCH LETTERS
- Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
- Keywords: News intensity, Stock market volatility, Non-gaussian disturbances, Structural vector autoregression
- Erciyes University Affiliated: Yes
Abstract
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.