Does news matter in China’s foreign exchange market? Chinese RMB volatility and public information arrivals

Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

“…It is also interesting to note that the extent of the negative association between return and SNF is relatively higher in the 2008-2009 GFC period than during the 2015-2016 crisis. This finding is consistent with our casual observation that sustainability in China has become a mega-trend, where investors and business stakeholders are more aware of sustainability issues and firms have become more critically observed by society, which has put more pressure on them to act in Given that the stock price returns are more volatile, especially during the GFC period in 2008-2009 and post-GFC in 2013, and the news variables do not show a distinctive pattern during the sample period, we follow Ho et al [15] to assess if any distinctive patterns in the news series can be observed during the identified calm or turbulent state in stock returns by adopting a moving average window approach. It is arguable that volatility in a calm state is relatively smaller due to policies and regulation controls, whereas return in a turbulent state is more volatile.…”

“…In order to testify the impact of condition volatility on stock return, a conditional variance term is added to the mean equation in the constructed EGARCH variance-in-mean model. In this study, we modify the EGARCH variance-in-mean model by adding the Sustainability 2018, 10, 3361 9 of 21 sustainability news variable into the mean equation in order to examine the hypothetical associations between stock return, volatility and sustainability news release [15], specified as follows:…”

“…The frequency changes of Google searches show a similar pattern to the stock prices, suggesting that investors and business stakeholders or even the general public are more likely to use Google searches for company news when their stock prices are low. Given that the stock price returns are more volatile, especially during the GFC period in 2008-2009 and post-GFC in 2013, and the news variables do not show a distinctive pattern during the sample period, we follow Ho et al [15] to assess if any distinctive patterns in the news series can be observed during the identified calm or turbulent state in stock returns by adopting a moving average window approach. It is arguable that volatility in a calm state is relatively smaller due to policies and regulation controls, whereas return in a turbulent state is more volatile.…”

“…Recently there have been studies on the relationship between news sentiment and changes in asset dynamics [14][15][16][17]. In particular, Riordan et al [16] argue that, compared with positive messages, negative newswire messages are particularly informative and have a more significant impact on high-frequency asset price discovery and liquidity.…”

“…Ho et al [14] examined the dynamic relationship between firm-level return volatility and public news sentiment. Ho et al [15] examined the impact of public information flows on the volatility of the bilateral Chinese RMB-U.S. dollar exchange rates in the spot, non-deliverable forward (NDF) and futures markets. The purpose of this study is to examine the impact from sustainability engagement information on firm stock return volatility, and to contrast the risk reduction effect against other types of news.…”