News Flow, Web Attention and Extreme Returns in the European Financial Crisis

33 Pages Posted: 5 Nov 2013 Last revised: 18 Oct 2016

Date Written: October 17, 2016

Abstract

We attempt a connection between three entities: Extreme Stock Market Returns, the Web Attention factor and a set of News Flow factors, for three groups of countries during the European Financial Crisis: the Euro-periphery countries, the Euro-core countries, and the major European Union - but not euro - countries. Using daily stock market data from January 2004 till March 2013 and textual analysis on more than 24,000 news articles from seven leading international news providers, we find that the Euro-periphery Web Attention (SVI) and News Flow variables significantly affect the probabilities of extreme bottom returns for the Euro-periphery, the Non-euro and the Euro-core groups. More Web Attention and more bad news for the Euro-periphery in times of crisis are associated with higher probabilities of extreme bottom returns within and across groups.

Keywords: Textual Analysis, Web Attention, SVI, News Flow, Media

JEL Classification: G01, G14, G15, D83

Suggested Citation

Chouliaras, Andreas and Grammatikos, Theoharry, News Flow, Web Attention and Extreme Returns in the European Financial Crisis (October 17, 2016). 26th Australasian Finance and Banking Conference 2013. Available at SSRN: https://ssrn.com/abstract=2348189 or http://dx.doi.org/10.2139/ssrn.2348189

Theoharry Grammatikos

Luxembourg School of Finance ( email )

4 Rue Albert Borschette
Luxembourg, L-1246
Luxembourg

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