Good news and bad news: Do online investor sentiments reaction to return news asymmetric?
نویسندگان
چکیده
There is growing evidence to suggest that the impact of positive and negative news are asymmetricthat the impact of bad news has a much greater effect on investors’ sentiment than positive news does; investors react more harshly when bad news is disseminated. Using daily data from 30 companies listed on the DJIA index over the period April 3, 2012 to April 5, 2013, we analyse 289,443 online tweets, from the so-called StockTwits, and construct a measure of online investor sentiment. The aim of this paper is to explore the asymmetric responses of online investor sentiments to different news in different market conditions (i.e. bull versus bear market). Applying data mining techniques for sentiment detection coupled with a nonlinear econometric model, we find strong evidence of asymmetry. The result provides evidence that investor sentiments exhibit different sensitivity to news in the bull and bear market. In particular, return effects on sentiment are positive (negative) in the bull and (bear) market where this effect is more pronounced in the bull market.
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