Filtered News Sentiments and US Equities During the COVID-19 Pandemic Open Access
Traynelis, James (Spring 2021)
Published
Abstract
Narratives play a determinate role in financial markets. Financial news data can be used as a surrogate to quantify the spread and adoption of economic narratives. This paper looks at two narratives during the COVID-19 pandemic: one of extreme monetary and fiscal stimulus and another of a vaccine. Financial data from four US stock indices (NASDAQ, SPX, RUT, NBI) was regressed on VADER sentiment ratings from New York Times and Guardian headlines. Vaccine news sentiment tracked strongly with the NASDAQ Biotech Index and Russell 2000. Stimulus news sentiment, however, did not exhibit any explanatory power at the significance levels tested.
Table of Contents
Introduction 1
Literature Review 2
Methodology 8
Results 27
Conclusion 31
References 33
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Filtered News Sentiments and US Equities During the COVID-19 Pandemic () | 2021-04-12 11:57:23 -0400 |
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