Assessing News Contagion in Finance
The analysis of news in the financial context has gained a prominent interest in the last years. This is because of the possible predictive power of such content especially in terms of associated sentiment/mood. In this paper, we focus on a specific aspect of financial news analysis: how the covered...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-02-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/6/1/5 |
| _version_ | 1798034896606724096 |
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| author | Paola Cerchiello Giancarlo Nicola |
| author_facet | Paola Cerchiello Giancarlo Nicola |
| author_sort | Paola Cerchiello |
| collection | DOAJ |
| description | The analysis of news in the financial context has gained a prominent interest in the last years. This is because of the possible predictive power of such content especially in terms of associated sentiment/mood. In this paper, we focus on a specific aspect of financial news analysis: how the covered topics modify according to space and time dimensions. To this purpose, we employ a modified version of topic model LDA, the so-called Structural Topic Model (STM), that takes into account covariates as well. Our aim is to study the possible evolution of topics extracted from two well known news archive—Reuters and Bloomberg—and to investigate a causal effect in the diffusion of the news by means of a Granger causality test. Our results show that both the temporal dynamics and the spatial differentiation matter in the news contagion. |
| first_indexed | 2024-04-11T20:50:40Z |
| format | Article |
| id | doaj.art-0fa17c654ca947fba714290bb4c4bc9a |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-11T20:50:40Z |
| publishDate | 2018-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-0fa17c654ca947fba714290bb4c4bc9a2022-12-22T04:03:51ZengMDPI AGEconometrics2225-11462018-02-0161510.3390/econometrics6010005econometrics6010005Assessing News Contagion in FinancePaola Cerchiello0Giancarlo Nicola1Department of Economics and Management Science, University of Pavia, Pavia, 27100 Lombardy, ItalyDepartment of Economics and Management Science, University of Pavia, Pavia, 27100 Lombardy, ItalyThe analysis of news in the financial context has gained a prominent interest in the last years. This is because of the possible predictive power of such content especially in terms of associated sentiment/mood. In this paper, we focus on a specific aspect of financial news analysis: how the covered topics modify according to space and time dimensions. To this purpose, we employ a modified version of topic model LDA, the so-called Structural Topic Model (STM), that takes into account covariates as well. Our aim is to study the possible evolution of topics extracted from two well known news archive—Reuters and Bloomberg—and to investigate a causal effect in the diffusion of the news by means of a Granger causality test. Our results show that both the temporal dynamics and the spatial differentiation matter in the news contagion.http://www.mdpi.com/2225-1146/6/1/5behavioural financefinancial newsstructural topic modelgranger causality |
| spellingShingle | Paola Cerchiello Giancarlo Nicola Assessing News Contagion in Finance Econometrics behavioural finance financial news structural topic model granger causality |
| title | Assessing News Contagion in Finance |
| title_full | Assessing News Contagion in Finance |
| title_fullStr | Assessing News Contagion in Finance |
| title_full_unstemmed | Assessing News Contagion in Finance |
| title_short | Assessing News Contagion in Finance |
| title_sort | assessing news contagion in finance |
| topic | behavioural finance financial news structural topic model granger causality |
| url | http://www.mdpi.com/2225-1146/6/1/5 |
| work_keys_str_mv | AT paolacerchiello assessingnewscontagioninfinance AT giancarlonicola assessingnewscontagioninfinance |