Sentiment correlation in financial news networks and associated market movements
In an increasingly connected global market, news sentiment towards one company may not only indicate its own market performance, but can also be associated with a broader movement on the sentiment and performance of other companies from the same or even different sectors. In this paper, we apply NLP...
| Main Authors: | , , , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Springer Nature
2021
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| _version_ | 1797111444492255232 |
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| author | Wan, X Yang, J Marinov, S Calliess, J-P Zohren, S Dong, X |
| author_facet | Wan, X Yang, J Marinov, S Calliess, J-P Zohren, S Dong, X |
| author_sort | Wan, X |
| collection | OXFORD |
| description | In an increasingly connected global market, news sentiment towards one company may not only indicate its own market performance, but can also be associated with a broader movement on the sentiment and performance of other companies from the same or even different sectors. In this paper, we apply NLP techniques to understand news sentiment of 87 companies among the most reported on Reuters for a period of 7 years. We investigate the propagation of such sentiment in company networks and evaluate the associated market movements in terms of stock price and volatility. Our results suggest that, in certain sectors, strong media sentiment towards one company may indicate a significant change in media sentiment towards related companies measured as neighbours in a financial network constructed from news co-occurrence. Furthermore, there exists a weak but statistically significant association between strong media sentiment and abnormal market return as well as volatility. Such an association is more significant at the level of individual companies, but nevertheless remains visible at the level of sectors or groups of companies. |
| first_indexed | 2024-03-07T08:10:28Z |
| format | Journal article |
| id | oxford-uuid:ff7a276d-2e72-4bce-be91-e07656b6191a |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T08:10:28Z |
| publishDate | 2021 |
| publisher | Springer Nature |
| record_format | dspace |
| spelling | oxford-uuid:ff7a276d-2e72-4bce-be91-e07656b6191a2023-11-16T16:03:23ZSentiment correlation in financial news networks and associated market movementsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:ff7a276d-2e72-4bce-be91-e07656b6191aEnglishSymplectic ElementsSpringer Nature2021Wan, XYang, JMarinov, SCalliess, J-PZohren, SDong, XIn an increasingly connected global market, news sentiment towards one company may not only indicate its own market performance, but can also be associated with a broader movement on the sentiment and performance of other companies from the same or even different sectors. In this paper, we apply NLP techniques to understand news sentiment of 87 companies among the most reported on Reuters for a period of 7 years. We investigate the propagation of such sentiment in company networks and evaluate the associated market movements in terms of stock price and volatility. Our results suggest that, in certain sectors, strong media sentiment towards one company may indicate a significant change in media sentiment towards related companies measured as neighbours in a financial network constructed from news co-occurrence. Furthermore, there exists a weak but statistically significant association between strong media sentiment and abnormal market return as well as volatility. Such an association is more significant at the level of individual companies, but nevertheless remains visible at the level of sectors or groups of companies. |
| spellingShingle | Wan, X Yang, J Marinov, S Calliess, J-P Zohren, S Dong, X Sentiment correlation in financial news networks and associated market movements |
| title | Sentiment correlation in financial news networks and associated market movements |
| title_full | Sentiment correlation in financial news networks and associated market movements |
| title_fullStr | Sentiment correlation in financial news networks and associated market movements |
| title_full_unstemmed | Sentiment correlation in financial news networks and associated market movements |
| title_short | Sentiment correlation in financial news networks and associated market movements |
| title_sort | sentiment correlation in financial news networks and associated market movements |
| work_keys_str_mv | AT wanx sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT yangj sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT marinovs sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT calliessjp sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT zohrens sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT dongx sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements |