- PII
- S042473880008527-8-
- DOI
- 10.31857/S042473880008527-8
- Publication type
- Article
- Status
- Published
- Authors
- Volume/ Edition
- Volume 56 / Issue 2
- Pages
- 77-89
- Abstract
This study assesses the foreign media Russia-related news tonality impact on the domestic stock market considering the periods before and after the imposition of the sanctions. Empirical basis of the research comprises 2,4 mln news texts from the Thomson Reuters. To estimate the news sentiment tonality we use the bag-of-words approach and three specific dictionaries (AFINN, NRC, Loughran and McDonald Word List). The time series analysis is implemented using the Toda–Yamamoto procedure for the Granger causality test, VAR-model, impulse response function, dispersion decomposition. We analyze the text data from 2012 to 2018 divided into half-periods: before and after the introduction of sanctions. We show that the sentiment tonality of the news media flow is significant and explains certain dynamics patterns of the Russian stock market. We also show that the increase in the sentiment polarity impact on the market participants is strongly related to the compound market index dynamics for the period after the introduction of sanctions. We conclude that there is asymmetry in the market reaction to shocks of positive and negative rhetoric in the foreign media
- Keywords
- text analysis, bag-of-words, stock market index, news sentiments, sanctions
- Date of publication
- 11.06.2020
- Year of publication
- 2020
- Number of purchasers
- 35
- Views
- 2104
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