Sentiment correlation in financial news networks and associated market movements

Abstract In an increasingly connected global market, news sentiment towards one company may not only indicate its own market performance, but can also be associated with a broader movement on the sentiment and performance of other companies from the same or even different sectors. In this paper, we...

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Autores principales:	Xingchen Wan, Jie Yang, Slavi Marinov, Jan-Peter Calliess, Stefan Zohren, Xiaowen Dong
Formato:	article
Lenguaje:	EN
Publicado:	Nature Portfolio 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/a2278f9569e644e3b01e0f138f0d548b
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spelling	oai:doaj.org-article:a2278f9569e644e3b01e0f138f0d548b2021-12-02T10:44:21ZSentiment correlation in financial news networks and associated market movements10.1038/s41598-021-82338-62045-2322https://doaj.org/article/a2278f9569e644e3b01e0f138f0d548b2021-02-01T00:00:00Zhttps://doi.org/10.1038/s41598-021-82338-6https://doaj.org/toc/2045-2322Abstract In an increasingly connected global market, news sentiment towards one company may not only indicate its own market performance, but can also be associated with a broader movement on the sentiment and performance of other companies from the same or even different sectors. In this paper, we apply NLP techniques to understand news sentiment of 87 companies among the most reported on Reuters for a period of 7 years. We investigate the propagation of such sentiment in company networks and evaluate the associated market movements in terms of stock price and volatility. Our results suggest that, in certain sectors, strong media sentiment towards one company may indicate a significant change in media sentiment towards related companies measured as neighbours in a financial network constructed from news co-occurrence. Furthermore, there exists a weak but statistically significant association between strong media sentiment and abnormal market return as well as volatility. Such an association is more significant at the level of individual companies, but nevertheless remains visible at the level of sectors or groups of companies.Xingchen WanJie YangSlavi MarinovJan-Peter CalliessStefan ZohrenXiaowen DongNature PortfolioarticleMedicineRScienceQENScientific Reports, Vol 11, Iss 1, Pp 1-12 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Xingchen Wan Jie Yang Slavi Marinov Jan-Peter Calliess Stefan Zohren Xiaowen Dong Sentiment correlation in financial news networks and associated market movements
description	Abstract In an increasingly connected global market, news sentiment towards one company may not only indicate its own market performance, but can also be associated with a broader movement on the sentiment and performance of other companies from the same or even different sectors. In this paper, we apply NLP techniques to understand news sentiment of 87 companies among the most reported on Reuters for a period of 7 years. We investigate the propagation of such sentiment in company networks and evaluate the associated market movements in terms of stock price and volatility. Our results suggest that, in certain sectors, strong media sentiment towards one company may indicate a significant change in media sentiment towards related companies measured as neighbours in a financial network constructed from news co-occurrence. Furthermore, there exists a weak but statistically significant association between strong media sentiment and abnormal market return as well as volatility. Such an association is more significant at the level of individual companies, but nevertheless remains visible at the level of sectors or groups of companies.
format	article
author	Xingchen Wan Jie Yang Slavi Marinov Jan-Peter Calliess Stefan Zohren Xiaowen Dong
author_facet	Xingchen Wan Jie Yang Slavi Marinov Jan-Peter Calliess Stefan Zohren Xiaowen Dong
author_sort	Xingchen Wan
title	Sentiment correlation in financial news networks and associated market movements
title_short	Sentiment correlation in financial news networks and associated market movements
title_full	Sentiment correlation in financial news networks and associated market movements
title_fullStr	Sentiment correlation in financial news networks and associated market movements
title_full_unstemmed	Sentiment correlation in financial news networks and associated market movements
title_sort	sentiment correlation in financial news networks and associated market movements
publisher	Nature Portfolio
publishDate	2021
url	https://doaj.org/article/a2278f9569e644e3b01e0f138f0d548b
work_keys_str_mv	AT xingchenwan sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT jieyang sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT slavimarinov sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT janpetercalliess sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT stefanzohren sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements AT xiaowendong sentimentcorrelationinfinancialnewsnetworksandassociatedmarketmovements
_version_	1718396781260177408

Sentiment correlation in financial news networks and associated market movements

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