Journal of
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Archive » January 2015 » Media sentiment and stock markets: a relationship analysis

Media sentiment and stock markets: a relationship analysis

Giuseppe Tripodi
January 2015 - n. 1
Jel codes: G02, G17

This is a study about the relationship between media sentiment and US stock market. The database is made of 7,132 news published by the WSJ in the period 11/2011-02/2013. With a textual analysis, using H4 and Loughran&McDonald vocabulary, four different sentiment indicators are constructed: two pessimism indicators and two sentiment indexes. The results show that the model catches the relation between sentiment and five different stock market indexes. That relation is stronger if media sentiment is calculated using the «financial oriented» vocabulary Loughran&McDonald. One of the most interesting issues is the role of media sentiment in anticipating market movements

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