Sentiment spillover effects for US and European companies

Item Type Journal paper
Abstract The fast-growing literature on news analytics provides evidence that financial markets are partially driven by sentiments. In contrast with previous studies that have almost exclusively focused on the direct effects of the news related to single companies or sectors, we investigate the time-varying dynamics of news' cross-industry influences for a set of US and European stocks over a period of 10 years. The graphical Granger causality of the news sentiments-excess return networks is estimated by applying the adaptive lasso. We find significant spillover effects and show the importance of sentiments related to certain sectors for the whole cross-section of stocks.
Authors Audrino, Francesco & Tetereva, Anastasija
Journal or Publication Title Journal of Banking and Finance
Language English
Subjects economics
HSG Classification contribution to scientific community
HSG Profile Area SEPS - Quantitative Economic Methods
Refereed Yes
Date September 2019
Publisher Elsevier
Volume 106
Page Range 542-567
ISSN 0378-4266
Contact Email Address
Depositing User Prof. Ph.D Francesco Audrino
Date Deposited 07 Aug 2019 08:00
Last Modified 12 Aug 2022 00:28


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Audrino, Francesco & Tetereva, Anastasija (2019) Sentiment spillover effects for US and European companies. Journal of Banking and Finance, 106 542-567. ISSN 0378-4266

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