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China | Con Big Data medimos el sentimiento de los medios sobre mercados de valores chinos
[Measuring news media sentiment using Big Data for Chinese stock markets]

Author

Listed:
  • Shulin Shen
  • Le Xia
  • Yulin Shuai
  • Da Gao

Abstract

Hemos construido cinco métricas de sentimiento de los medios de comunicación basadas en la base de datos GDELT, que representan el tono, optimismo, atención, dispersión del tono y polaridad emocional respecto a mercados chinos. Estas métricas ofrecen un poder de predicción significativo de los rendimientos y volatilidades. We construct five sentiment measures based on the GDELT database, representing the Tone, Optimism, Attention, Tone Dispersion, and Emotional Polarity of Chinese stock markets. All these news media sentiment measures are shown to have significant predictive power for Chinese stock market returns and volatilities.

Suggested Citation

  • Shulin Shen & Le Xia & Yulin Shuai & Da Gao, 2022. "China | Con Big Data medimos el sentimiento de los medios sobre mercados de valores chinos [Measuring news media sentiment using Big Data for Chinese stock markets]," Working Papers 22/05, BBVA Bank, Economic Research Department.
    • Handle: RePEc:bbv:wpaper:2205
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    More about this item

    Keywords

    Big data analysis; Análisis de big data; Asia; Asia; China; China; Analysis with Big Data; Análisis con Big Data; Regional Analysis China; Análisis Regional China; Working Papers; Documento de Trabajo;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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