We examine directional connectedness patterns from news and social media to financial market volatility using textual analysis and high-frequency data. We find that media sentiment induces market volatility, but the magnitude of that connectedness is time-varying. In addition, news and social media sentiment pertinent to one market transmits volatility to other markets. Finally, we find that sentiment transmits sharp shocks to markets during major events. At other times, there are smaller spillover effects, indicating that the directional connectedness from sentiment to markets follows a spiky pattern over time. We conclude that news and social media play an important (but not constant) role in transmitting volatility across financial markets. This insight explains earlier divergent findings in the literature.

我们使用文本分析和高频数据来检查从新闻和社交媒体到金融市场波动的定向关联模式。我们发现媒体情绪会引发市场波动，但这种关联性的程度是随时间变化的。此外，与一个市场相关的新闻和社交媒体情绪也会将波动传递到其他市场。最后，我们发现，在重大事件期间，情绪会对市场产生剧烈冲击。在其他时候，溢出效应较小，表明随着时间的推移，情绪与市场的定向关联遵循尖峰模式。我们的结论是，新闻和社交媒体在传导金融市场波动方面发挥着重要（但并非恒定）的作用。这一见解解释了文献中早期的不同发现。