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The Hype Index: an NLP-driven Measure of Market News Attention

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  • Zheng Cao
  • Wanchaloem Wunkaew
  • Helyette Geman

Abstract

This paper introduces the Hype Index as a novel metric to quantify media attention toward large-cap equities, leveraging advances in Natural Language Processing (NLP) for extracting predictive signals from financial news. Using the S&P 100 as the focus universe, we first construct a News Count-Based Hype Index, which measures relative media exposure by computing the share of news articles referencing each stock or sector. We then extend it to the Capitalization Adjusted Hype Index, adjusts for economic size by taking the ratio of a stock's or sector's media weight to its market capitalization weight within its industry or sector. We compute both versions of the Hype Index at the stock and sector levels, and evaluate them through multiple lenses: (1) their classification into different hype groups, (2) their associations with returns, volatility, and VIX index at various lags, (3) their signaling power for short-term market movements, and (4) their empirical properties including correlations, samplings, and trends. Our findings suggest that the Hype Index family provides a valuable set of tools for stock volatility analysis, market signaling, and NLP extensions in Finance.

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  • Zheng Cao & Wanchaloem Wunkaew & Helyette Geman, 2025. "The Hype Index: an NLP-driven Measure of Market News Attention," Papers 2506.06329, arXiv.org.
    • Handle: RePEc:arx:papers:2506.06329
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    References listed on IDEAS

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    1. Dario Caldara & Matteo Iacoviello, 2022. "Measuring Geopolitical Risk," American Economic Review, American Economic Association, vol. 112(4), pages 1194-1225, April.
    2. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    3. Glasserman, Paul & Mamaysky, Harry, 2019. "Does Unusual News Forecast Market Stress?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(5), pages 1937-1974, October.
    4. Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
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