期刊
ACCOUNTING AND FINANCE
卷 58, 期 -, 页码 253-274出版社
WILEY
DOI: 10.1111/acfi.12373
关键词
Sentiment analysis; Trading strategy; Text mining; FTSE 100; News
We investigate the statistical and economic effect of positive and negative sentiment on daily excess returns and volatility in the FTSE 100 index, using business news articles published by the Guardian Media Group between 01/01/2000 and 01/06/2016. The analysis indicates that while business news sentiment derived from articles aimed at retail traders does not influence excess returns in the FTSE 100 index, it does affect volatility, with negative sentiment increasing volatility and positive sentiment reducing it. Further, an ETF-based trading strategy based on these findings is found to outperform the naive buy-and-hold approach.
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