How does News-Based Sentiment Affect Stock Market Volatility in the Stock Exchange of Thailand?
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Abstract
The objective of the study is to investigate the predictive power of news-based sentiment and the effects on volatility of equity returns during November 2017- February 2019. The stock market sentiment is extracted from a corpus of the headline financial news that is related to the Stock Exchange of Thailand.
We find that the news-based sentiment index exhibits the predictive power over SET, SET50 and SET100 returns. In addition, the positive market sentiment significantly affects the volatility in SET50 and SET100 index returns during the period. As the positive sentiment increases, the volatility of SET50 and SET100 returns decreases.
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The articles published in the journals are the authors' opinions, not the opinion of the editorial team or administrative staff. The articles published is copyright of the Journal of Business Administration and Accounting, Khon Kaen University.
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