On the influence of foreign media on the Russian stock market: Text analysis

Occupation: Professor to the Department of financial management
Affiliation:
Financial University under the Government of the Russian Federation
the National Research University Higher School of Economics
Address: Moscow, Russian Federation

Igor Demin

Occupation: Professor
Affiliation: The Financial University under the Government of the Russian Federation
Address: Russian Federation

Dmitry Afanasyev

Occupation: Postgraduate student
Affiliation: Financial University under the Government of the Russian Federation
Address: Russian Federation

Oleg Rogov

Occupation: junior researcher
Affiliation: Skolkovo Institute of Science and Technology
Address: Russian Federation

Journal name

Ekonomika i matematicheskie metody

Edition

Volume 56 Issue 2

Pages

77-89

Abstract

This study assesses the foreign media Russia-related news tonality impact on the domestic stock market considering the periods before and after the imposition of the sanctions. Empirical basis of the research comprises 2,4 mln news texts from the Thomson Reuters. To estimate the news sentiment tonality we use the bag-of-words approach and three specific dictionaries (AFINN, NRC, Loughran and McDonald Word List). The time series analysis is implemented using the Toda–Yamamoto procedure for the Granger causality test, VAR-model, impulse response function, dispersion decomposition. We analyze the text data from 2012 to 2018 divided into half-periods: before and after the introduction of sanctions. We show that the sentiment tonality of the news media flow is significant and explains certain dynamics patterns of the Russian stock market. We also show that the increase in the sentiment polarity impact on the market participants is strongly related to the compound market index dynamics for the period after the introduction of sanctions. We conclude that there is asymmetry in the market reaction to shocks of positive and negative rhetoric in the foreign media

Keywords

text analysis, bag-of-words, stock market index, news sentiments, sanctions

Acknowledgment

The authors acknowledge the support provided by the Financial University under the Government of the Russian Federation through budget resources assigned for the project “the impact of the international news media on the financial market of the Russian federation” in 2018.

Received

12.04.2020

Publication date

11.06.2020

Number of characters

34877

Cite

GOST	Fedorova E., Demin I., Afanasyev D., Rogov O. On the influence of foreign media on the Russian stock market: Text analysis // Ekonomika i matematicheskie metody – 2020. – V. 56. – Issue 2 C. 77-89 [Electronic resource]. URL: https://emm.jes.su/S042473880008527-8-1 (circulation date: 25.04.2024). DOI: 10.31857/S042473880008527-8
MLA	Fedorova, Elena, Demin, Igor, Afanasyev, Dmitry, Rogov, Oleg "On the influence of foreign media on the Russian stock market: Text analysis." Ekonomika i matematicheskie metody 56.2 (2020):77-89. DOI: 10.31857/S042473880008527-8
APA	Fedorova E., Demin I., Afanasyev D., Rogov O. (2020). On the influence of foreign media on the Russian stock market: Text analysis. Ekonomika i matematicheskie metody 56(2), pp.77-89 DOI: 10.31857/S042473880008527-8

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