The Role of Climate Change News in Pharma Industry

Anghel Bogdan Ionut () and Lupu Radu ()
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Anghel Bogdan Ionut: Bucharest University of Economic Studies, Bucharest, Romania
Lupu Radu: Bucharest University of Economic Studies, Bucharest, Romania, Romanian Academy, Bucharest, Romania; Institute for Economic Forecasting

Proceedings of the International Conference on Business Excellence, 2023, vol. 17, issue 1, 19-28

Abstract: In this article, we aim to study the role of climate change news in the European Big-Pharma companies returns. The goal of the research is to explain if the sentiment of the news posted on Twitter can explain the market movements, even if current global events may affect stock prices. The previous literature reveals the impact of climate change in the economy, but in the field of pharma companies, there is less information of how climate change affects the evolution in the stock market. We used the VADER methodology to examine and analyze the climate change news posted on Twitter. This allows us to extract the sentiment and use it to study the dependence between sentiment score and the evolution of the European Big-Pharma companies. To examine the relation, we use Ordinary Least Squares regressions and Quantile Regression. Our results reveal the fact that there is no significant dependency between the sentiment score of the news published on Twitter by the biggest newspapers and the price increase of the European Pharma companies stocks. We observe a small increase in dependence when we use the sentiment score with 1 day lag in the Ordinary Least Squares regressions and another improvement in results with Quantile Regression.

Keywords: Climate Change; Sentiment Analysis; Stock Market; Big Pharma; Twitter (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:poicbe:v:17:y:2023:i:1:p:19-28:n:32

DOI: 10.2478/picbe-2023-0004

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