Antweiler

Blasco

Bollen

Chan

Chatrath

Coulton

De Long

Ferguson

Fuehres

Geva

Gidófalvi

Gregory

Grob-Klubmann

Hagenau

Huang

Khadjeh Nassirtoussi

Klein

Kumari

Loughran

Medhat

Olaniyan

Parkinson

Patton

Ravi

Schumaker

Sinha

Smales

Soyland

Tetlock

Zhang

English

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 naïve buy‐and‐hold approach

Johnman, Mark

Vanstone, Bruce J

Gepp, Adrian

Bond University Research Portal

Predicting FTSE 100 returns and volatility using sentiment analysis

Mark Johnman

Bruce James Vanstone

Adrian Gepp

Crossref

Accounting and Finance

https://pure.bond.edu.au/ws/files/27008977/Predicting_FTSE_100_Returns_and_Volatility_Using_Sentiment_Analysis.pdf

Predicting FTSE 100 returns and volatility using sentiment analysis

Abstract

Similar works

Full text

Available Versions

Bond University Research Portal

Crossref