News sentiment and foreign portfolio investment in Brazil

Leilane de Freitas Rocha Cambara and Roberto Meurer

International Journal of Finance & Economics, 2023, vol. 28, issue 3, 3332-3348

Abstract: This paper aims to investigate the influence of news sentiment on foreign portfolio investment, as well as its disaggregated components (equity and debt securities) in Brazil. We construct a news sentiment index, based on the sentiment analysis of news stories published by the Wall Street Journal, from January 1999 to May 2018. The resulting index is consistent with national and international events during the period. There is evidence for the influence of news sentiment on these flows. This influence occurs in both contemporaneous and lagged values, in a way that an improvement in news sentiment leads to an increase in these flows in the next period. Additionally, the volatility of the flows responds asymmetrically to changes in news sentiment.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3332-3348

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