China | Con Big Data medimos el sentimiento de los medios sobre mercados de valores chinos

Measuring news media sentiment using Big Data for Chinese stock markets

Shulin Shen, Le Xia, Yulin Shuai and Da Gao

No 22/05, Working Papers from BBVA Bank, Economic Research Department

Abstract: Hemos construido cinco métricas de sentimiento de los medios de comunicación basadas en la base de datos GDELT, que representan el tono, optimismo, atención, dispersión del tono y polaridad emocional respecto a mercados chinos. Estas métricas ofrecen un poder de predicción significativo de los rendimientos y volatilidades. We construct five sentiment measures based on the GDELT database, representing the Tone, Optimism, Attention, Tone Dispersion, and Emotional Polarity of Chinese stock markets. All these news media sentiment measures are shown to have significant predictive power for Chinese stock market returns and volatilities.

Keywords: Big data analysis; Análisis de big data; Asia; Asia; China; China; Analysis with Big Data; Análisis con Big Data; Regional Analysis China; Análisis Regional China; Working Papers; Documento de Trabajo (search for similar items in EconPapers)
JEL-codes: C15 C32 G10 G40 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2022-07
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Persistent link: https://EconPapers.repec.org/RePEc:bbv:wpaper:2205

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