News Sentiment and Financial Assets Returns during COVID-19

13 Pages Posted: 25 Aug 2020

See all articles by Aktham Issa Maghyereh

Aktham Issa Maghyereh

United Arab Emirates University

Hussein Abdoh

United Arab Emirates University (UAEU) - Department of Economics and Finance

Date Written: August 21, 2020

Abstract

This study is the first to document the impact of news sentiment on different classes of assets’ returns (stocks, bonds, oil, natural gas, gold, commodities, and foreign exchange rate) during the COVID-19 pandemic. By using time-varying causality test, we find that the causality running from sentiment to asset returns increases remarkably during the pandemic, mainly during March and April, 2020. The causality effect of sentiment is the highest on S&P 500 index. When examining the dynamic connectedness between sentiment and asset returns, we find that the connectedness is higher during the pandemic for all assets and the increase in connectedness is prolonged during the pandemic for certain assets such as natural gas, bond, commodity and S&P 500. Overall, the pandemic caused greater sentiment predictability on asset returns.

Keywords: News sentiment, COVID-19, financial assets, time-varying causality

JEL Classification: G01, G02, G12

Suggested Citation

Maghyereh, Aktham Issa and Abdoh, Hussein, News Sentiment and Financial Assets Returns during COVID-19 (August 21, 2020). Available at SSRN: https://ssrn.com/abstract=3678966 or http://dx.doi.org/10.2139/ssrn.3678966

Aktham Issa Maghyereh (Contact Author)

United Arab Emirates University ( email )

United Arab Emirates University
Deparment of Economics & Finance
Al-Ain, P.O.Box: 1
United Arab Emirates

Hussein Abdoh

United Arab Emirates University (UAEU) - Department of Economics and Finance ( email )

United Arab Emirates

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