Assessing news contagion in finance

Artikel

The analysis of news in the financial context has gained a prominent interest in the last years. This is because of the possible predictive power of such content especially in terms of associated sentiment/mood. In this paper, we focus on a specific aspect of financial news analysis: how the covered topics modify according to space and time dimensions. To this purpose, we employ a modified version of topic model LDA, the so-called Structural Topic Model (STM), that takes into account covariates as well. Our aim is to study the possible evolution of topics extracted from two well known news archive-Reuters and Bloomberg-and to investigate a causal effect in the diffusion of the news by means of a Granger causality test. Our results show that both the temporal dynamics and the spatial differentiation matter in the news contagion.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-19 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Survey Methods; Sampling Methods ; Hypothesis Testing: General ; Central Banks and Their Policies ; Policy Objectives; Policy Designs and Consistency; Policy Coordination ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: behavioural finance ; financial news ; structural topic model ; granger causality

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Cerchiello, Paola ; Nicola, Giancarlo
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2018

Weitere Informationen

• DOI: doi:10.3390/econometrics6010005
• Handle: http://hdl.handle.net/10419/195442
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ