Shulin Shen   Lecturer (higher education)

Shulin Shen is an Assistant Professor of School of Economics, Huazhong University of Science and Technology, China. She received her Ph.D. in economics from Syracuse University (USA) in 2018.Her research lies in the areas of Financial Econometrics, Urban Economics, and Real Estate Finance and Housing, with publications on Journal of Applied Econometrics, Pacific-Basin Finance Journal, and Trav...Detials

Measuring news media sentiment using big data for Chinese stock markets

Release time:2022-07-16  Hits:

  • Indexed by:Journal paper
  • Document Code:101810
  • First Author:沈淑琳
  • Journal:Pacific-Basin Finance Journal
  • Included Journals:SSCI
  • Discipline:Economics
  • First-Level Discipline:Applied Economics
  • Document Type:J
  • Issue:74
  • ISSN No.:0927-538X
  • Key Words:China;News sentiment;Big data;Stock market;GDELT
  • DOI number:10.1016/j.pacfin.2022.101810
  • Date of Publication:2022-07-16
  • Impact Factor:3.239
  • Abstract:We construct and assess new time series measures of news media sentiment based on Global Data on Events, Location, and Tone (GDELT) using Data Science techniques. Five sentiment measures representing the news media Tone, Optimism, Attention, Tone Dispersion, and Emotional Polarity of Chinese stock markets are constructed based on article tone scores and media coverages from GDELT. All these news media sentiment measures are shown to have significant predictive power for Chinese stock market returns and volatilities. We also document substantial asymmetric sentiment effects on the Chinese stock market returns and volatilities. Sentiment extended EGARCH models are shown to improve market return and volatility forecasting accuracy significantly.
  • Links to published journals:https://doi.org/10.1016/j.pacfin.2022.101810