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, vol.86, 2025 (SSCI, Scopus) identifier identifier

  • 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, Non-gaussian disturbances, Stock market volatility, Structural vector autoregression
  • Open Archive Collection: Article
  • Azerbaijan State University of Economics (UNEC) 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.