报纸的语气和隔夜股票的盘中回报异常

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-09-01 DOI:10.1016/j.finmar.2023.100838

Yossi Saadon , Ben Z. Schreiber

{"title":"报纸的语气和隔夜股票的盘中回报异常","authors":"Yossi Saadon , Ben Z. Schreiber","doi":"10.1016/j.finmar.2023.100838","DOIUrl":null,"url":null,"abstract":"<div><p>We examine the associations between newspapers tone and stock market indices by translating newspapers coverage into human sentiment gauge. Our tone has positive effects on overnight stock returns and negative effects on both intraday returns and conditional volatility. The positive effect of the tone is highly significant on days of sharp price declines and when the tone is calculated using general newspapers. That positive effect, apparently thru opening prices, partly explains the overnight-intraday anomaly. The impact of negative events' coverage is about double the impact of positive events’ coverage. This asymmetry is greater when distinguishing between general and business newspapers.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"65 ","pages":"Article 100838"},"PeriodicalIF":2.1000,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Newspapers tone and the overnight-intraday stock return anomaly\",\"authors\":\"Yossi Saadon , Ben Z. Schreiber\",\"doi\":\"10.1016/j.finmar.2023.100838\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We examine the associations between newspapers tone and stock market indices by translating newspapers coverage into human sentiment gauge. Our tone has positive effects on overnight stock returns and negative effects on both intraday returns and conditional volatility. The positive effect of the tone is highly significant on days of sharp price declines and when the tone is calculated using general newspapers. That positive effect, apparently thru opening prices, partly explains the overnight-intraday anomaly. The impact of negative events' coverage is about double the impact of positive events’ coverage. This asymmetry is greater when distinguishing between general and business newspapers.</p></div>\",\"PeriodicalId\":47899,\"journal\":{\"name\":\"Journal of Financial Markets\",\"volume\":\"65 \",\"pages\":\"Article 100838\"},\"PeriodicalIF\":2.1000,\"publicationDate\":\"2023-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Markets\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1386418123000368\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418123000368","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们通过将报纸报道转化为人类情绪指标来研究报纸语气与股票市场指数之间的关联。我们的基调对隔夜股票收益有正面影响，对日内收益和有条件波动有负面影响。在价格急剧下跌的日子里，当使用一般报纸计算语气时，语气的积极影响非常显著。这种积极影响(显然是通过开盘价)在一定程度上解释了隔夜盘中的异常现象。负面事件报道的影响大约是正面事件报道的两倍。在区分普通报纸和商业报纸时，这种不对称性更大。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Newspapers tone and the overnight-intraday stock return anomaly

We examine the associations between newspapers tone and stock market indices by translating newspapers coverage into human sentiment gauge. Our tone has positive effects on overnight stock returns and negative effects on both intraday returns and conditional volatility. The positive effect of the tone is highly significant on days of sharp price declines and when the tone is calculated using general newspapers. That positive effect, apparently thru opening prices, partly explains the overnight-intraday anomaly. The impact of negative events' coverage is about double the impact of positive events’ coverage. This asymmetry is greater when distinguishing between general and business newspapers.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.