Information in the financial news: Effect of market commentary on stock market performance

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Türkiye

Tezin Onay Tarihi: 2012

Öğrenci: AYNUR GİRAY

Danışman: SEZA DANIŞOĞLU

Özet:

This paper studies the effect of investment sentiment on asset prices. A sentiment proxy is calculated by performing content analysis on the Wall Street Journal‘s "Heard on the Street‘ columns. This proxy is extracted by the principal component analysis of the word tags from the Harvard psychological dictionary that is used by the content analysis software General Inquirer. The relationship between stock prices, trading volume and the media sentiment proxy is estimated within the VAR context. Results suggest that stock price and trading volume are affected by the media sentiment factor. Findings also imply that stock prices and trading volume in the current time period are mainly affected by the past returns and volume.