Journal article
Sentiment correlation in financial news networks and associated market movements
- Abstract:
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, pdf, 2.6MB, Terms of use)
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- Publisher copy:
- 10.1038/s41598-021-82338-6
Authors
- Publisher:
- Springer Nature
- Journal:
- Scientific Reports More from this journal
- Volume:
- 11
- Issue:
- 1
- Article number:
- 3062
- Place of publication:
- England
- Publication date:
- 2021-02-04
- Acceptance date:
- 2021-01-15
- DOI:
- EISSN:
-
2045-2322
- Pmid:
-
33542292
- Language:
-
English
- Keywords:
- Pubs id:
-
1146396
- Local pid:
-
pubs:1146396
- Deposit date:
-
2023-10-08
- ARK identifier:
Terms of use
- Copyright holder:
- Wan et al
- Copyright date:
- 2021
- Rights statement:
- © 2021, The Author(s). This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
- Licence:
- CC Attribution (CC BY)
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