Can Sentiment from News Headlines Explain Stock Market Returns?: Evidence from Thailand

  • Sapphasak Chatchawan Faculty of Commerce and Accountancy, Thammasat University, Thailand
Keywords: News-based sentiment index, Stock markets, Textual analysis

Abstract

The objective of this study was to investigate whether sentiment from financial market headline news explains equity returns. Techniques from computational linguistics were employed to extract the news-based sentiment from a corpus of financial market headlines collected from a newsfeed of a financial newswire.    

In this study, news sentiment was classified as the overall sentiment and included both the positive and the negative sentiment. Using daily financial market data from 2017-2019, the overall sentiment and the positive sentiment were found to explain the equity returns of the Stock Exchange of Thailand (SET) while the negative sentiment did not explain the returns.

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Published
2021-06-30
How to Cite
Chatchawan, S. (2021). Can Sentiment from News Headlines Explain Stock Market Returns?: Evidence from Thailand. Thammasat Review, 24(1), 317-333. Retrieved from https://sc01.tci-thaijo.org/index.php/tureview/article/view/239962