Market distraction and near-zero daily volatility persistence

Wang, J

Market distraction and near-zero daily volatility persistence

Wang, J

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Publisher:: Elsevier BV
Publication Type:: Journal Article
Citation:: International Review of Financial Analysis, 2022, 80, pp. 1-14
Issue Date:: 2022-03-01

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Field	Value	Language
dc.contributor.author	Wang, J
dc.date.accessioned	2022-05-16T06:03:09Z
dc.date.available	2022-05-16T06:03:09Z
dc.date.issued	2022-03-01
dc.identifier.citation	International Review of Financial Analysis, 2022, 80, pp. 1-14
dc.identifier.issn	1057-5219
dc.identifier.uri	http://hdl.handle.net/10453/157422
dc.description.abstract	This study shows that during the FIFA World Cups, the Olympic Games, and Christmas and New Year, the average daily volatility persistence is near zero across 17 equity indices in 14 developed economies. The evidence indicates low information production by distracted financial analysts and journalists. Volatility persistence has seasonal variation that is high in January and October and low in June, consistent with seasonality in market attention. When attention seasonality is disrupted by unprecedented events in 2020–21, seasonality in volatility persistence is reversed. The seasonal variations in volatility persistence explain an average 8.7% of daily variations in volatility level across global markets.
dc.language	en
dc.publisher	Elsevier BV
dc.relation.ispartof	International Review of Financial Analysis
dc.relation.isbasedon	10.1016/j.irfa.2022.102022
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1501 Accounting, Auditing and Accountability, 1502 Banking, Finance and Investment, 1801 Law
dc.subject.classification	Finance
dc.title	Market distraction and near-zero daily volatility persistence
dc.type	Journal Article
utslib.citation.volume	80
utslib.for	1501 Accounting, Auditing and Accountability
utslib.for	1502 Banking, Finance and Investment
utslib.for	1801 Law
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	true
dc.date.updated	2022-05-16T06:03:08Z
pubs.publication-status	Published
pubs.volume	80

Abstract:

This study shows that during the FIFA World Cups, the Olympic Games, and Christmas and New Year, the average daily volatility persistence is near zero across 17 equity indices in 14 developed economies. The evidence indicates low information production by distracted financial analysts and journalists. Volatility persistence has seasonal variation that is high in January and October and low in June, consistent with seasonality in market attention. When attention seasonality is disrupted by unprecedented events in 2020–21, seasonality in volatility persistence is reversed. The seasonal variations in volatility persistence explain an average 8.7% of daily variations in volatility level across global markets.

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http://hdl.handle.net/10453/157422