Title: Country news sentiment indices
Authors: Svetlana Borovkova - Vrije Universiteit Amsterdam (Netherlands) [presenting]
Abstract: Country-specific indices which measure the sentiment in the news about the regional stock markets are constructed and investigated. From all news items that hit Thomson Reuters newswire, we filter out those that are relevant for a country's large cap stock index and aggregate sentiment of these items into one comprehensive index, taking into account novelty and volume of news. This index can be thought of as a thermometer of the perception of a particular country's stock market in the media. We construct such indices for the US, Europe, the UK, Japan and China. We investigate the relationships of these indices to the stock market returns and volatilities, foreign exchange rates, sovereign debt spreads. We find evidence that the derived Country News Sentiment Indices (``CNSI'') have positive contemporaneous and one-week-ahead relations to the corresponding stock market returns for all the considered markets apart from China. We also demonstrate strong relationships of these sentiment indices to FX, sovereign CDSs as well as country-specific economic indicators.