News and social networks of Russian companies: Degree of influence on the securities market

IF 0.3 Q4 ECONOMICS

Zhurnal Novaya Ekonomicheskaya Assotsiatsiya-Journal of the New Economic Association Pub Date : 2022-01-01 DOI:10.31737/2221-2264-2022-53-1-2

E. Fedorova, I. V. Pyltsin, Y. Kovalchuk, P. Drogovoz

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引用次数: 2

Abstract

The main purpose of this work is to determine the periods in which the profitability of the Russian stock market is partially explained by official information (RBC news) and unofficial (tweets of companies). The methodology of the study included a VAR model with a sliding window of 50 days. The empirical base of the study included 32 thousand news articles and 111 thousand tweets for 2011–2020. The assessment of the tonality of the text was carried out on the basis of the EcSentiThemeLex dictionary, this dictionary is one of the first dictionaries that allow assessing the tonality of economic and financial texts in Russian by five tonalities. The results of the study show that the profitability of the market is explained both by economic indicators (the price of oil and the exchange rate) and by the tone of textual information. Moreover, from 2011 to 2015, the tone of the news background was the dominant information factor in the profitability of the securities market, and in 2017–2020 — dominance has shifted to the mood of social media texts. A short-term period of influence of textual information was also revealed, sudden bursts of investor sentiment lead to a temporary jump in stock prices, which quickly return to close the initial level.

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俄罗斯公司的新闻和社交网络:对证券市场的影响程度

这项工作的主要目的是确定俄罗斯股票市场的盈利能力部分由官方信息(RBC新闻)和非官方(公司的推文)解释的时期。该研究的方法包括一个具有50天滑动窗口的VAR模型。本研究的实证基础包括2011-2020年的3.2万篇新闻文章和11.1万条推文。对文本调性的评估是在EcSentiThemeLex词典的基础上进行的，该词典是第一批允许通过五种调性评估俄罗斯经济和金融文本调性的词典之一。研究结果表明，市场的盈利能力可以通过经济指标(石油价格和汇率)和文本信息的语气来解释。此外，从2011年到2015年，新闻背景的基调是证券市场盈利能力的主导信息因素，而在2017-2020年，主导地位已经转向社交媒体文本的情绪。短时间内的文字信息的影响也被揭示出来，投资者情绪的突然爆发导致股价暂时上涨，股价迅速恢复到接近初始水平。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Zhurnal Novaya Ekonomicheskaya Assotsiatsiya-Journal of the New Economic Association ECONOMICS-

CiteScore

1.00

自引率

20.00%

发文量

期刊介绍： Key Journal''s objectives: bring together economists of different schools of thought across the Russian Federation; strengthen ties between Academy institutes, educational establishments and economic research centers; improve the quality of Russian economic research and education; integrate economic science and education; speed up the integration of Russian economic science in the global mainstream of economic research. The Journal publishes both theoretical and empirical articles, devoted to all aspects of economic science, which are of interest for wide range of specialists. It welcomes high-quality interdisciplinary projects and economic studies employing methodologies from other sciences such as physics, psychology, political science, etc. Special attention is paid to analyses of processes occurring in the Russian economy. Decisions about publishing of articles are based on a double-blind review process. Exceptions are short notes in the section "Hot Topic", which is usually formed by special invitations and after considerations of the Editorial Board. The only criterion to publish is the quality of the work (original approach, significance and substance of findings, clear presentation style). No decision to publish or reject an article will be influenced by the author belonging to whatever public movement or putting forward ideas advocated by whatever political movement. The Journal comes out four times a year, each issue consisting of 12 to 15 press sheets. Now it is published only in Russian. The English translations of the Journal issues are posted on the Journal website as open access resources.