News media sentiment and asset prices in Korea: text-mining approach

Dong-Jin Pyo and Jungho Kim

Asia-Pacific Journal of Accounting & Economics, 2021, vol. 28, issue 2, 183-205

Abstract: This paper builds a new sentiment index from news articles using text-mining techniques to empirically investigate the relationships between investor sentiment and asset prices in the Korean financial markets. Results show that an increase in the sentiment index predicts a positive stock return and reduction in its volatility. Evidence also demonstrates that a higher sentiment index leads to an appreciation in the KRW against the USD and the lower exchange rate volatility.

Date: 2021
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DOI: 10.1080/16081625.2019.1642115

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Asia-Pacific Journal of Accounting & Economics is currently edited by Yin-Wong Cheung, Hong Hwang, Jeong-Bon Kim, Shu-Hsing Li and Suresh Radhakrishnan

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