Title:

Hunting the Quicksilver: Using Textual News and Causality Analysis to Predict Market Volatility

Authors:

Ameet Kumar Banerjee (Xavier U)
Andreia Dionísio (U Évora)
H. K. Pradhan (XLRI-Xavier School of Management, Jamshedpur)
Biplab Mahapatra (Xavier U)

Journal:

International Review Of Financial Analysis

Year:

2021

Volume:

77

JEL codes:

O16 - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
G14 - Information and Market Efficiency; Event Studies

DOI:

10.1016/j.irfa.2021.101848