Information in the financial news: effect of market commentary on stock market performance

Download

index.pdf

Date

2012

Author

Giray, Aynur

Metadata

Show full item record

Item Usage Stats

253
views

99
downloads

This paper studies the effect of investment sentiment on asset prices. A sentiment proxy is calculated by performing content analysis on the Wall Street Journal‘s "Heard on the Street‘ columns. This proxy is extracted by the principal component analysis of the word tags from the Harvard psychological dictionary that is used by the content analysis software General Inquirer. The relationship between stock prices, trading volume and the media sentiment proxy is estimated within the VAR context. Results suggest that stock price and trading volume are affected by the media sentiment factor. Findings also imply that stock prices and trading volume in the current time period are mainly affected by the past returns and volume.

Subject Keywords

Stock exchanges., Capital market., Journalism, Commercial., Stock exchanges and current events.

URI

http://etd.lib.metu.edu.tr/upload/12615156/index.pdf
https://hdl.handle.net/11511/22227

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

An Investigation on the nature of the idiosyncratic risk of stock portfolios Kocaarslan, Barış; Soytaş, Uğur; Department of Business Administration (2018) In this study, based on sound economic theories, two economic transmission channels are identified to investigate the impacts of changes in funding liquidity conditions in interbank loan markets and the reserve currency (US dollar) value on the idiosyncratic portfolio-level risks. Controlling for business cycles, we find that a deterioration in funding liquidity conditions increases the idiosyncratic risk of high-risk portfolios more than that of less risky portfolios. This increase is stronger when the idi...
A Test of multi-index asset pricing models: the case of Istanbul Stock Exchange Kalaç, Sırrı Selim; Danışoğlu, Seza; Department of Business Administration (2012) This study employs widely excepted asset pricing models to test their explanatory power in the context of Istanbul Stock Exchange listed companies between 1990 and 2010. The risk factors, beta, size, book-to-market equity, and momentum are used to form portfolios and their factor loadings are estimated. The results of this study are mostly in line with the previous academic research, and some unique attributes of the return generation mechanism of Istanbul Stock Exchange are reported.
Macroeconomic announcements and intraday stock market volatility Yılmaz, Berna Nisa; Danışoğlu, Seza; Department of Financial Mathematics (2017) This study examines the effects of interest and inflation rate announcements on stock market volatility by using a standard event study methodology. The BIST-30 Index volatility is modelled and forecasted by the multiplicative component GARCH model. This is one of the first studies where the announcement effects are analyzed on the basis of volatility forecasts produced by the multiplicative component GARCH. The announcement effects are observed clearly with the advantage of using high-frequency data. While...
An Empirical model of the international cost of equity Uzunkaya, Mehmet; Küçükkaya, Halit Engin; Department of Business Administration (2015) The aim of the study is to propose an empirical model of the international cost of equity by investigating and analyzing the long-run relation between disaggregated country risk ratings and country stock market index returns for a large panel of countries. The study tests the hypothesis that, given the available theoretical and empirical evidence, country risk ratings and country stock market index returns should move together in the long-run and there should be a long-run equilibrium between them; thus cou...
Volatility indexes and an implementation of the Turkish BIST 30 index Karakurt, Caner; Uğur, Ömür; Department of Financial Mathematics (2018) In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its vari...

Citation Formats

A. Giray, “Information in the financial news: effect of market commentary on stock market performance ,” M.B.A. - Master of Business Administration, Middle East Technical University, 2012.