EFFECT OF REAL ESTATE NEWS SENTIMENT ON THE STOCK RETURNS OF SWEDBANK AND SEB BANK

Yuliia Puzanova and Mustafa Eratalay ()

No 122, University of Tartu - Faculty of Economics and Business Administration Working Paper Series from Faculty of Economics and Business Administration, University of Tartu (Estonia)

Abstract: This paper analyses the effect of real estate news sentiment on the stock returns of Swedbank and SEB Bank, which are leading banks in Sweden and the Baltic region. For this purpose, we have selected sentiments from news about real estate in the markets of these banks in Sweden, Estonia, Latvia, and Lithuania between 4 January 2016 and 19 February 2019. Estimation results showed that sentiments about the housing market affect stock returns for the banks, and showed the presence of the asymmetric effects of positive and negative news. We also found that there is a difference in the stock returns of these banks in terms of when and to what extent they react to news coming from the Baltic States and Sweden. Moreover, we found that the number of negative news affects the stock returns of the banks more than the strength of the news. We also apply several GARCH specifications to show that negative and positive news explain the asymmetric effects in the volatility processes to some extent. The asymmetric effects in the volatilities are captured much better by the GJR-GARCH and NA-GARCH models, implying that these effects are generated by idiosyncratic shocks rather than the sentiments in the news.

Keywords: sentiment analysis; real estate market; Sweden; Baltics; Latvia; Lithuania; Estonia (search for similar items in EconPapers)
Pages: 51 pages
Date: 2020
New Economics Papers: this item is included in nep-cis, nep-fmk and nep-ure
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