The British Stock Market, currencies, brexit, and media sentiments: A big data analysis

Gopal K. Basak, Pranab Das (), Sugata Marjit, Debashis Mukherjee and Lei Yang

The North American Journal of Economics and Finance, 2023, vol. 64, issue C

Abstract: In this study, we use a machine learning framework and draw on an extensive body of media articles on Brexit to provide evidence of cointegration and causality between the sentiments of the media and the movement of British currency. Our contribution to the literature is novel. In addition to applying lexicons commonly used in sentiment analysis, we devise a method using Bayesian learning to create a more context-aware and informative lexicon for Brexit. By leveraging and extending this method, we reveal the relationship between original media sentiment and related economic and financial variables. Our method is a distinct improvement over existing methods and can better predict out-of-sample outcomes than conventional ones.

Keywords: Media sentiment; British Stock Market; British currency; Brexit; Machine learning (search for similar items in EconPapers)
JEL-codes: C58 G10 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940822001966
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001966

DOI: 10.1016/j.najef.2022.101861

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().