High Frequency News in the European Financial Crisis

38 Pages Posted: 3 Mar 2015 Last revised: 20 Sep 2017

Date Written: September 20, 2017

Abstract

I perform textual analysis on high frequency (intraday) news articles. Selected articles are related to Euro-zone periphery crisis-affected countries (Portugal, Ireland, Italy, Greece, Spain). News pessimism affects stock returns negatively and volatility positively. Media pessimism does not only affect the crisis-hit Euro-zone periphery countries, but also European and overseas stock markets. Financial markets can be very fast when "absorbing" the shocks of media pessimism. Even small time frames, such as 5- and 30-minute intervals can be enough for stock prices to have a negative influence from higher media pessimism.

The appendices for this paper are available at the following URL: http://ssrn.com /abstract=2709797.

Keywords: Financial Crisis, Textual Analysis, News Flow, Financial Sentiment, High Frequency, Intraday, Dow Jones, Thomson Reuters

JEL Classification: G01, G14, G15, D83

Suggested Citation

Chouliaras, Andreas, High Frequency News in the European Financial Crisis (September 20, 2017). Available at SSRN: https://ssrn.com/abstract=2572597 or http://dx.doi.org/10.2139/ssrn.2572597

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