The Causal Effect of Financial News on Indian Stock Market
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Date
2022
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Journal ISSN
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Publisher
Institute of Electrical and Electronics Engineers Inc.
Abstract
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.
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Keywords
Causal linkage, Financial News, Granger Causality, Sliding Window
Citation
IEEE Region 10 Annual International Conference, Proceedings/TENCON, 2022, Vol.2022-November, , p. -