Predicting <scp>FTSE</scp> 100 returns and volatility using sentiment analysis

Johnman, Mark; Vanstone, Bruce J; Gepp, Adrian

doi:10.1111/acfi.12373

Cited by 37 publications

(27 citation statements)

References 52 publications

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“…Moreover, the presence of investor attention helps improve return efficiency. An increase in attention 5 Two other popular behavioral factors influencing stock market activities include investor mood (Harding and He 2016) and investor sentiment (Piccoli et al 2018 andJohnman et al 2018).…”

Section: Relevant Literaturementioning

confidence: 99%

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Padungsaksawasdi

Treepongkaruna

Brooks

2019

IJFS

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Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities relationship exists, in which the SVI–trading volume relationship shows the strongest evidence. This is consistent with prior literature using trading volume as a proxy of investor attention. However, the relationships in the developed and developing markets are statistically significantly different. The stock markets in the developed markets over-react more to the search volume than those in the developing markets. We postulate that investor attention is one of the key elements in asset pricing in stock markets.

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Section: Relevant Literaturementioning

confidence: 99%

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Padungsaksawasdi

Treepongkaruna

Brooks

2019

IJFS

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“…Effects of temperature on stock market performance Negative sentiment's effect on financial returns and volatility is usually found to be stronger than positive sentiment (Johnman, Vanstone, & Gepp, 2018). Chang et al (2006) have confirmed an existence of a significant relationship between temperature, cloud cover and stock returns.…”

Section: Hypothesis Developmentmentioning

confidence: 99%

Stock Returns and The Weather Effect: the Case of Ghana

Atuahene¹,

Kong²,

Bentum‐Micah³

2020

Preprint

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In every economy, Stock markets are part of the key elements the build it up. A few decades ago, there has been a significant change in Ghana stock market returns (GSE). Our study examines the statistical and economic significance of investor sentiment, based on weather conditions/changes, on stock market returns. OLS models, assisted by unit root tests were employed in analyzing the data obtained from the Ghana stock exchange platform from 2000 to 2017. From our literature review, we discovered that investors’ perceptions play a central role in finalizing the direction of stock market returns. Regarding our empirical results, we tested whether weather variations influence the investment decisions of investors; we discovered that temperature and cloud cover significantly influences stock market returns. This is because of mood changes is associated with weather conditions variations. However, sunshine per our regression coefficient shows a statistically insignificant impact on investors’ investment choices. Precipitation to a large extend influence stock market activities further affecting its results negatively as our regression results depicted. We concluded stock brokerage firms, companies, and investors (foreign/local) must incorporate weather changes/effects when strategizing about their investment outcomes.

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“…In earlier periods, individual investors tended to be viewed as noise traders in the sense of Kyle (1985) and Black (1986), pushing asset prices away from fundamental values and destabilising markets because they were subject to fads and behavioural bias and returned poor performance. 1 At the same time, Johnman et al (2018) find that individual investors can influence market volatility. In recent years, however, financial economists have come to understand the importance of individual investors to financial markets.…”

Section: Introductionmentioning

confidence: 99%

Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market

Chen

Wang

2019

Accounting & Finance

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We first document that both buying and selling by individual investors before earnings announcements are negatively correlated with post‐event abnormal returns using a unique dataset that allows us to precisely identify individual investor trading. Next, we show that both buying and selling by individual investors before earnings announcements not only are positively associated with contemporaneous returns, but also respond positively to past returns. This is consistent with the idea that individual investors act as liquidity providers (demanders) when they sell (buy) before earnings announcements. Individual investor buying and individual investor selling after earnings announcements confirm this point.

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Predicting FTSE 100 returns and volatility using sentiment analysis

Cited by 37 publications

References 52 publications

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Investor Attention and Stock Market Activities: New Evidence from Panel Data

Stock Returns and The Weather Effect: the Case of Ghana

Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market

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