News İntensity and Volatility Dynamics in Large- and Small-Cap Stocks: A Non-Gaussian SVAR Approach

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.