Big Data Financial Sentiment Analysis in the European Bond Markets

We exploit the novel Global Database of Events, Language and Tone (GDELT) to construct news-based financial sentiment measures capturing investor\u2019s opinions for three European countries, Italy, Spain and France. We study whether deterioration in investor\u2019s sentiment implies a rise in interest rates with respect to their German counterparts. Finally, we look at the link between agents\u2019 sentiment and their portfolio exposure on the Italian, French and Spanish markets