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Immigration narrative sentiment from TV news and the stock market

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  • Mazzotta, Stefano

Abstract

Often debated in the media, immigration is a contentious topic in the U.S. Shiller (2017), and Shiller (2019) posit that narratives can drive economics events. This paper investigates the relationship between the immigration narrative sentiment and the stock market using the sentiment extracted from of 1.3 million TV news transcripts. Results from Panel Vector Auto Regression (PVAR) estimations show that the immigration narrative sentiment is related to stock market indicators. A positive shock to the immigration narrative sentiment Granger-causes a statistically significant and economically meaningful increase in the stock prices, a decrease in implied volatility, and a statistically significant but economically small increase in trade volume. However, stock market variation does not affect the immigration narrative sentiment. The effect of the immigration narrative sentiment shock to market indicators is long lasting suggesting that the immigration narrative likely contains fundamental information about equities that has not been priced.

Suggested Citation

  • Mazzotta, Stefano, 2022. "Immigration narrative sentiment from TV news and the stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:beexfi:v:34:y:2022:i:c:s2214635022000259
    DOI: 10.1016/j.jbef.2022.100666
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    More about this item

    Keywords

    Sentiment; Immigration; Narrative economics;
    All these keywords.

    JEL classification:

    • G40 - Financial Economics - - Behavioral Finance - - - General
    • B55 - Schools of Economic Thought and Methodology - - Current Heterodox Approaches - - - Social Economics

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