Sentiment spillover effects for US and European companies
Journal
Journal of Banking and Finance
ISSN
0378-4266
Type
journal article
Date Issued
2019-09
Author(s)
Abstract
The fast-growing literature on news analytics provides evidence that financial markets are partially driven by sentiments. In contrast with previous studies that have almost exclusively focused on the direct effects of the news related to single companies or sectors, we investigate the time-varying dynamics of news' cross-industry influences for a set of US and European stocks over a period of 10 years. The graphical Granger causality of the news sentiments-excess return networks is estimated by applying the adaptive lasso. We find significant spillover effects and show the importance of sentiments related to certain sectors for the whole cross-section of stocks.
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
Yes
Publisher
Elsevier
Volume
106
Start page
542
End page
567
Contact Email Address
francesco.audrino@unisg.ch
Eprints ID
257486