Impact of Public News Sentiment on Stock Market Index Return and Volatility

43 Pages Posted: 11 Oct 2021

See all articles by Gianluca Anese

Gianluca Anese

affiliation not provided to SSRN

Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia

Michele Costola

Ca' Foscari University of Venice

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration

Date Written: October 2021

Abstract

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the imple- mented techniques and the type of source on which they are based. In this paper, we investigate the impact of the release of public financial news on the S&P 500. Using automatic labeling techniques based on either stock index returns or dictionaries, we apply a classification problem based on long short-term memory neural networks to extract alternative proxies of investor sentiment. Our findings provide evidence that there exists an impact of those sentiments in the market on a 20-minute time frame. We find that dictionary-based sentiment provides meaningful results with respect to those based on stock index returns, which partly fails in the mapping process between news and financial returns.

Keywords: [comPublic financial news, Stock market, NLP, Dictionary, LSTM neural net- works, Investor sentiment, S&P 500ma separated]

JEL Classification: G14, G17, C45, C63

Suggested Citation

Anese, Gianluca and Corazza, Marco and Costola, Michele and Pelizzon, Loriana, Impact of Public News Sentiment on Stock Market Index Return and Volatility (October 2021). SAFE Working Paper No. 322, Available at SSRN: https://ssrn.com/abstract=3937901 or http://dx.doi.org/10.2139/ssrn.3937901

Gianluca Anese

affiliation not provided to SSRN

Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

Michele Costola (Contact Author)

Ca' Foscari University of Venice ( email )

Cannaregio 873
Venice, 30121
Italy

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, D-60323
Germany

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