@article{Chatchawan_2021, title={Can Sentiment from News Headlines Explain Stock Market Returns?: Evidence from Thailand}, volume={24}, url={https://sc01.tci-thaijo.org/index.php/tureview/article/view/239962}, abstractNote={<p>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.    </p> <p>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.</p>}, number={1}, journal={Thammasat Review}, author={Chatchawan, Sapphasak}, year={2021}, month={Jun.}, pages={317–333} }