High Frequency

Online Appendix: High Frequency Newswire Textual Sentiment Analysis

Online Appendix: High Frequency Newswire Textual Sentiment Analysis: Evidence From International Stock Markets During The European Financial Crisis

Andreas S. Chouliaras

Luxembourg School of Finance

December 31, 2015

Abstract:

This is the internet appendix for “High Frequency Newswire Textual Sentiment Analysis: Evidence from International Stock Markets during the European Financial Crisis”.

The paper “High Frequency Newswire Textual Sentiment Analysis: Evidence from International Stock Markets during the European Financial Crisis” to which this Appendix applies is available at: http://ssrn.com/abstract=2572597.

Online Appendix: High Frequency Newswire Textual Sentiment Analysis: Evidence From International Stock Markets During The European Financial Crisis – Introduction

Table 1: Portugal Stock Market – 30 minutes. The model I employ the study the effect of the content of news in high frequency stock returns is the following: Screenshot_6 where Mt takes the value of, the positive (Gt), the negative (Bt), the pessimism (Pt) and the news count (Nt), of the previous 30-minute interval, as defined in Section 3.5 of the paper. I control for five lags of returns (i.e. five 30-minute lagged returns for every stock market) to deal with autocorrelation in the returns. The regressions I perform are robust, using the Huber-White sandwich estimators (Huber (1967), White (1980)) to deal with autocorrelation, heteroskedasticity, heterogeneity and lack of normality.

High Frequency

Table 2: Ireland stock market – 30 minutes. The model I employ the study the effect of the content of news in high frequency stock returns is the following: Screenshot_6 where Mt takes the value of, the positive (Gt), the negative (Bt), the pessimism (Pt) and the news count (Nt), of the previous 30-minute interval, as defined in Section 3.5 of the paper. I control for five lags of returns (i.e. five 30-minute lagged returns for every stock market) to deal with autocorrelation in the returns. The regressions I perform are robust, using the Huber-White sandwich estimators (Huber (1967), White (1980)) to deal with autocorrelation, heteroskedasticity, heterogeneity and lack of normality.

High Frequency

Table 3: Italy stock market – 30 minutes. The model I employ the study the effect of the content of news in high frequency stock returns is the following: Screenshot_6 where Mt takes the value of, the positive (Gt), the negative (Bt), the pessimism (Pt) and the news count (Nt), of the previous 30-minute interval, as defined in Section 3.5 of the paper. I control for five lags of returns (i.e. five 30-minute lagged returns for every stock market) to deal with autocorrelation in the returns. The regressions I perform are robust, using the Huber-White sandwich estimators (Huber (1967), White (1980)) to deal with autocorrelation, heteroskedasticity, heterogeneity and lack of normality.

High Frequency

Table 4: Greece stock market – 30 minutes. The model I employ the study the effect of the content of news in high frequency stock returns is the following: Screenshot_6 where Mt takes the value of, the positive (Gt), the negative (Bt), the pessimism (Pt) and the news count (Nt), of the previous 30-minute interval, as defined in Section 3.5 of the paper. I control for five lags of returns (i.e. five 30-minute lagged returns for every stock market) to deal with autocorrelation in the returns. The regressions I perform are robust, using the Huber-White sandwich estimators (Huber (1967), White (1980)) to deal with autocorrelation, heteroskedasticity, heterogeneity and lack of normality.

High Frequency

See full PDF below.

LEAVE A COMMENT


X
Saved Articles
X
TextTExtLInkTextTExtLInk

The Life and Career of Charlie Munger

Charlie is more than just Warren Buffett’s friend and Berkshire Hathaway’s Vice Chairman – Buffett has actually credited him with redefining how he looks at investing. Now you can learn from Charlie firsthand via this incredible ebook and over a dozen other famous investor studies by signing up below:

  • Learn from the best and forever change your investing perspective
  • One incredible tidbit of knowledge after another in the page-turning masterpiece of a book
  • Discover the secrets to Charlie’s success and how to apply it to your investing
Never Miss A Story!
Subscribe to ValueWalk Newsletter. We respect your privacy.

Are you an intelligent investor?

ValueWalkPremium is a website and newsletter for smart investors like yourself. We focus on the latest hedge fund industry news much of which is not in the public domain and obtained via our sources.

We also have 10 years of resources on how to use this information to better your investment process.

Sign up for  today for only a few dollars a day and get a 3 day no obligation trial with a targeted 20% discount coupon code.

Cancel anytime during trial and you are never charged.

Limited time offer: For first 50 subscribers

0