No such thing as negative press? – How negative media attention on euro area countries affects the yields of their government bonds
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School of Business |
Bachelor's thesis
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Authors
Date
2022
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
20+2
Series
Abstract
Natural language processing and more specifically sentiment analysis has gained popularity as a viable method in finance research. Much of this research has focused on the stock market. In this thesis, I analyze the connection between news sentiment about EMU-countries and the yields of those countries’ 10-year bonds. To assess news sentiment I create a dataset of news headlines by scraping data from Twitter, and measure the adjusted proportion of negative words in them. I find that negative news is associated with statistically insignificant increases in bond yields right after the news come out. Based on my analysis I highlight the need for controlling for the novelty of news and propose a rudimentary metric to proxy novelty. I further discuss the inherent difficulties of news as a data source, especially in combination with time series data and outcomes that change slowly across time.Description
Thesis advisor
Lof, MatthijsKeywords
natural language processing, sentiment analysis, bond yields, news headlines, EMU–countries, euro area, sovereign credit risk