Aggregate News Sentiment and Stock Market Returns in India

Sushant Chari, Purva Hegde Desai, Nilesh Borde and Babu George ()
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Sushant Chari: Saraswat Education Society’s Sridora Caculo College of Commerce & Management Studies, Mapusa 403507, Goa, India
Purva Hegde Desai: Goa Business School, Goa University, Panaji 403206, Goa, India
Nilesh Borde: Goa Business School, Goa University, Panaji 403206, Goa, India
Babu George: School of Business, Alcorn State University, Lorman, MS 39096, USA

JRFM, 2023, vol. 16, issue 8, 1-18

Abstract: This paper contributes to the advancement of noise trader theory by examining the connection between aggregate news sentiment and stock market returns during days of significant stock market movement. In contrast to previous studies that solely focused on company-specific news sentiment, this research explores the impact of aggregate news sentiment. To draw conclusions, GARCH modeling, regression analysis, and dictionary-based sentiment analysis are employed. The findings, based on data from India, reveal that aggregate news sentiment has a short-lived influence, with notable effects stemming from the business and politics categories.

Keywords: aggregate news sentiment; GARCH; noise trader; extreme stock market returns (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
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