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High Frequency Newswire Textual Sentiment: Evidence from international stock markets during the European Financial Crisis

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  • Chouliaras, Andreas

Abstract

Textual analysis is performed in a total of 13145 high frequency (intraday) news: 6536 news from the Dow Jones Newswires and 6609 news from the Thomson Reuters Newswires. Selected news are Euro-periphery (Portugal, Ireland, Italy, Greece, Spain) crisis-related news which contain a number of keywords in their content and their title. News pessimism as a product of textual analysis sentiment significantly and negatively affects stock returns (an increase in news pessimism is associated with lower stock prices). Media pessimism does not only affect the crisis-hit Euro-periphery countries but also European (Germany, France, Austria, Belgium, Finland, UK, Switzerland, Norway) and overseas (Brazil, Canada, US Dow Jones, US S&P, Japan, China) stock markets. Stock markets can be very fast when "absorbing" the shocks of media pessimism. Even small time frames such as 30-minutes can be enough for stock prices to be negatively affected by a higher media pessimism. The results are significant in the sense that they provide quantitative evidence that individual countries in crisis can indeed affect not only their own stock markets, not only markets close to them, but also overseas markets from both sides of the globe. The media (and especially newswires which release news with extreme speeds and coverage) provide a channel through which "bad" news are instantaneously circulated and provide worldwide "shocks" to stock prices in extremely small time windows (even 30 minutes). If one takes into account the number of news examined (13145), small shocks can ultimately add up to pretty significant losses for all parties involved (individual investors, funds, corporations, nations). Stock market shocks from Athens, Lisbon, Madrid, Dublin and Rome are "felt" quite fast not only in Berlin, Paris, Vienna, London and Zurich, but also in New York, Toronto, Tokyo and Hong Kong.

Suggested Citation

  • Chouliaras, Andreas, 2015. "High Frequency Newswire Textual Sentiment: Evidence from international stock markets during the European Financial Crisis," MPRA Paper 62524, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:62524
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    References listed on IDEAS

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    Cited by:

    1. Chouliaras, Andreas, 2015. "Institutional Investors, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms," MPRA Paper 65875, University Library of Munich, Germany.
    2. Chouliaras, Andreas, 2016. "The Effect of Infomation on Financial Markets: A Survey," MPRA Paper 71396, University Library of Munich, Germany.
    3. Chouliaras, Andreas, 2015. "The Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns," MPRA Paper 65585, University Library of Munich, Germany.

    More about this item

    Keywords

    Financial Crisis; Textual Analysis; News Flow; Financial Sentiment; High Frequency; Dow Jones; Thomson Reuters.;

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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