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Author: search.filters.author.Varghese, R.R.Subject: search.filters.subject.Causal linkage

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    The Causal Effect of Financial News on Indian Stock Market
    (Institute of Electrical and Electronics Engineers Inc., 2022) Varghese, R.R.; Mohan, B.R.
    The impact of the news media on stock prices has increasingly risen to the forefront of discussion as a result of in-depth stock market research. The aim of this paper is to investigate the presence of causal links between financial news and stock market values. Granger causality between the stock market and sentiment of financial news is investigated by bivariate analysis. Then the sliding window approach quantifies the causal relationship between news sentiment and stock price. We find a positive correlation between the sentiment of financial news and in the variation of the stock price and the effect of the news is at its peak on the same day as the news is released. Our findings lend quantitative support to the idea that movements in financial markets and movements in financial news are inextricably linked. © 2022 IEEE.