Yuxing Liu1,2, Wei Chong Choo1This email address is being protected from spambots. You need JavaScript enabled to view it., Keng Yap Ng3,4, and Feifei Li2
1School of Business and Economics, Universiti Putra Malaysia, Serdang, Selangor, Malaysia
2Department of Economics and Management, Yuncheng University, Yuncheng, Shanxi, China
3Institute for Mathematical Research, Universiti Putra Malaysia, Serdang, Selangor, Malaysia
4Department of Software Engineering and Information Systems, Faculty of Computer Science and Information Technology, Universiti Putra Malaysia, Serdang, Selangor, Malaysia
Received: September 29, 2024 Accepted: April 4, 2025 Publication Date: May 30, 2025
Copyright The Author(s). This is an open access article distributed under the terms of the Creative Commons Attribution License (CC BY 4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are cited.
Based on the differences between traditional news and digital news, this paper takes a heterogeneous perspective to systematically analyze the dynamic correlation degree, time-varying impulse response, and spillover effects between traditional news sentiment, digital news sentiment, and housing price volatility using DCC-GARCH model, TVP-SV-VAR model, and Spillover Index model. Through the application of machine learning techniques, the research results are obtained: (a) The correlation between the three variables exhibits significant temporal variability, especially in the later stage of the sample period. (b) There is a positive dynamic correlation between news sentiment from two different sources, and housing price volatility is significantly affected by spillover effects from both types of news sentiment. (c) Traditional news sentiment dominates in the early stage of the sample period, but its influence gradually fades in the later stage. In contrast, the positive impact of digital news sentiment on housing price volatility is more sustained. We believe that in the current context of diversified development in the media industry, policy makers should pay attention to the complex dynamic correlation between different news sentiment and housing price volatility. While focusing on regulating digital media, the influence of traditional media cannot be ignored.
Keywords: Newssentiment; housing price volatility; heterogeneity analysis; TVP-SV-VAR model; DCC-GARCH model; Spillover Index model
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