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Journal of Behavioral Finance

ISSN: 1542-7560 (Print) 1542-7579 (Online) Journal homepage: https://www.tandfonline.com/loi/hbhf20

Emotions in the Stock Market

John Griffith, Mohammad Najand & Jiancheng Shen

To cite this article: John Griffith, Mohammad Najand & Jiancheng Shen (2019): Emotions in the
Stock Market, Journal of Behavioral Finance, DOI: 10.1080/15427560.2019.1588275

To link to this article: https://doi.org/10.1080/15427560.2019.1588275

Published online: 29 Apr 2019.

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JOURNAL OF BEHAVIORAL FINANCE
https://doi.org/10.1080/15427560.2019.1588275

Emotions in the Stock Market


John Griffitha , Mohammad Najanda, and Jiancheng Shenb
a
Old Dominion University; bTaylor University

ABSTRACT KEYWORDS
The authors explore the interaction between media content and market returns and volatil- Behavioral finance; Investor
ity. They utilize propriety investor sentiment measures developed by Thompson Reuters sentiment; Media content;
MarketPsych. The data are from a commercial-strength comprehensive textual analysis that Market returns; Volatility
provides 24-hr rolling average scores of total references in the news and social media by
counting overall positive references net of negative references. The authors select 4 meas-
ures of investor sentiment that reflect both pessimism and optimism of small investors.
These measures are fear, gloom, joy, and stress. The objective is twofold. First, the authors
examine the ability of these sentiment measures to predict market returns. Second, they are
interested in exploring the effects of these sentiment measures on market return and vola-
tility. For this purpose, the authors utilize threshold generalized autoregressive conditional
heteroskedasticity models. They explore the ability of sentiment measures to predict both
the level of and change in market returns. The sentiment measure of stress has a small
effect on the market return for a 1-day lag. The other 2 sentiment measures, gloom and joy,
seem to play no role in predicting market returns. Furthermore, the authors find that fear
among investors has a major and lasting effect on market returns and conditional volatility.

Introduction Investors’ overconfidence about private signals and


their biased self-attribution contribute to under- and
The development of neuroscience over the last 2 deca-
overreactions in the securities market, where market
des has shown that human behaviors, including eco-
nomic behaviors, are strongly influenced by the finely fundamentals correct investors’ psychological biases in
tuned affective processes operating in our brain sys- the long run (Daniel, Hirshleifer, and Subrahmanyam
tem (Elster [1998], Lowenstein [2000], Camerer, [1998]). Additionally, the representativeness heuristic
Loewenstein, and Prelec [2005]). Emotion, as a signifi- and conservatism are other psychological biases that
cant reflection of our affective processes, can produce can trigger asset pricing anomalies. Investors under-
a transient but significant impact on economic deci- react to inadequate pieces of good news, while they
sion making and activities at both the individual and overreact to an abundance of good news. This over-
societal levels (Lowenstein [2000], Camerer et al. reaction leads to subsequent low returns in the correc-
[2005]). In their experiments, neuroeconomists have tion (Barberis, Shleifer, and Vishny [1998], Smales
also detected that human emotion and cognitive [2015]). Different styles of traders generate different
thinking are constantly intertwined (Lo, Repin, and types of biases toward securities pricing. News watch-
Steenbarger [2005], Fenton-O’Creevy, Soane, ers tend to underreact to private information, and
Nicholson, and Willman [2011]). Scientific evidence momentum traders opt to form investment portfolios
on the correlations between human emotions and eco- conditional on a subset of past prices. Under- and
nomic outcomes provide guidelines for finance overreactions arise from the interaction of momentum
researchers to study investor emotion and its effects traders and news watchers, which can be corrected by
on the financial market. market fundamentals in the long run (Hong and Stein
The 2 most famous financial anomalies, stock price [1999]). All of the previous articles addressing invest-
momentum and stock price reversal, can be addressed ors’ psychological biases highlight basic reasons for
by investors’ overreaction or underreaction to public financial market anomalies that do not perfectly con-
information triggered by their psychological biases. form to traditional risk-return tradeoff beliefs in the

CONTACT John Griffith jgriffit@odu.edu Department of Finance, Strome College of Business, Old Dominion University, 1 Old Dominion University,
Norfolk, VA 23529.
Color versions of one or more of the figures in the article can be found online at www.tandfonline.com/hbhf.
ß 2019 The Institute of Behavioral Finance
2 J. GRIFFITH ET AL.

short run; however, these anomalies submit to effi- media source further contributes to canceling out
cient market equilibrium in the long run. noisy opinions and rumors from unreliable sources.
Because the content of financial information in The rest of the article is organized as follows. The
modern media sources is tremendously rich, quantifying next section summarizes previous studies on the
the information on investor psychology within those effects of the 4 common investor emotions (fear,
media contents is beneficial for financial professionals. gloom, joy, stress) on the financial market. The subse-
With the development of content analysis and machine quent section describes the datasets and the empirical
learning technologies, researchers can transform qualita- methodology. Then, the following section describes
tive information on investor psychology within media the research data and empirical models. This section
sources into quantitative measurements and then apply is followed by a section that provides empirical results
those measurements in studying financial market based on several predictive models of investor emo-
anomalies. Confirming this pattern, numerous subscrib- tion and S&P 500 index returns. The robustness
able financial news databases have been developed in checks examine the effect of investor emotion among
the past several years, including RavenPack, Thomson alternative measures of TRMI emotion indicators. The
Reuters News Analytics, Thomson Reuters MarketPsych article concludes with a list of several main contribu-
Index (TRMI), Bloomberg News Analytics, and tions and a suggested avenue for future researchers.
LexisNexis. The availability of market-wide investor
psychology datasets offers opportunities for empirically
Emotions in financial market
studying investor psychology-related investment activ-
ities in the financial market. Emotion psychologists believe that investors’ emotion
In this article, we empirically test the 4 commonly affects their assessments of risk and the monetary
documented investor emotions (fear, gloom, joy, value of investment securities (Lerner and Keltner
stress) and their effects on the stock market. We use [2000], Han, Lerner and Keltner [2007]). The valence-
the threshold generalized autoregressive conditional based approach and the appraisal-based approach are
heteroskedasticity (TGARCH) model to study the cor- 2 main approaches that dominate human emotion
relation between S&P 500 index returns and 4 distinct studies. In discussing emotion, valence refers to the
investor emotions from January 1, 1998, to December effects of positive versus negative feeling states
31, 2014. Furthermore, the vector autoregressive (Barrett [2006]). Researchers have argued that the spe-
results suggest that emotion-associated abnormal cific emotions of the same valence could have differ-
returns undergo rapid reversals within 5 days, which ent effects on decision making; for example, fear
is consistent with the short-term predictive model of promotes pessimistic risk estimates and risk-averse
media-based sentiment on stock returns up to 5 days choices, while anger encourages optimistic risk esti-
(Tetlock [2007], Garcia [2013]). Our 4 market-level mates and risk-seeking choices (Lerner, Goldberg, and
emotion indicators (fear, gloom, joy, stress) are from Tetlock [1998], Lerner and Keltner [2000, 2001],
TRMI, which is constructed based on a comprehen- Tiedens and Linton [2001]). Appraisal theorists con-
sive textual analysis of sources from news wires, tend that emotions can be distinguished at a more
Internet news sources, and social media with a set of fine-grained level as a person’s appraisal or cognitive
proprietary psychology dictionaries. In contrast to response to a specific situation (Lerner and Keltner
previous media-based sentiment studies, we expand [2000, 2001], Tiedens and Linton [2001]). “Buy on fear,
the single dimension of the investor sentiment index sell on greed” illustrates how distinct dimensions of
to multiple dimensions of emotion indices. More emotions can influence investors’ investment strategies.
importantly, our emotion indicators are established With the emergence of experimental finance and
based on a collection of media sources covered by neurological finance in the last 2 decades, researchers
over 2 million news articles and posts every day utilize modern neurological technologies (functional
(Peterson [2013], Huang, Lehkonen, Pukthuanthon, magnetic resonance imaging, voice analysis, facial rec-
and Zhou [2018]), whereas most prior textual analyses ognition) to detect investors’ or corporate managers’
of media contents rely on a single source. The collect- emotions and further study their financial decision
ive source approach in studying media-related making and investment performance. Kuhnen and
investor psychology is more likely to reflect the true Knutson [2011] verified that emotional states influ-
information of the market psychological bias. At the ence risk taking. They documented that positive emo-
collective level of media sources, the consensual tional states motivate investors to have risky
knowledge on investor emotion covered by each single investment portfolios, while negative emotional states
JOURNAL OF BEHAVIORAL FINANCE 3

hinder them from doing so. In 2 different studies, more extensive field-specific dictionaries. Tetlock
Mayew and Venkatachalam [2012] and Price, Seiler, [2007] implemented content analysis in financial
and Shen [2017] utilized layered voice analysis soft- research by running a word-counting method based
ware to isolate managers’ vocal cues in their earnings on the Harvard Psychosocial Dictionary. Loughran
conference calls. Mayew and Venkatachalam depicted and McDonald [2011] argued that the words identi-
that investors reacted to managers’ vocal cues in a fied as negative by this dictionary are typically not
pattern whereby they picked up cumulative abnormal negative words in financial contexts. They develop a
returns around conference calls, and those returns financial context-based dictionary incorporating 6-
extended out 6 months. Price, Seiler, and Shen found word classifications. Utilizing firm-specific news senti-
that investors appear to overreact to managers’ emo- ment data provided by Thomson Reuters News
tional vocal cues in conference calls, whereas there is Analytics, Smales [2015] constructed aggregate meas-
a rapid correction to this short-run overreaction. ures to examine the relationship between news senti-
Very little empirical research has been conducted ment and stock market returns over the period
to show that investors’ moods and emotions affect 2004–2010. He found a highly significant relationship
securities valuations; however, there is already between aggregated measures of news sentiment and
adequate research that demonstrates that investor sen- stock returns that fluctuates over time and by indus-
timent has a large impact on expected return and try. Smales identified a link between the time-vari-
stock price volatilities. Lee, Jiang, and Indro [2002] ation of news sentiment impact and industry beta and
employed GARCH models to test the effect of determines that levels of investor sentiment play an
investor sentiment on weekly return volatility and important role in explaining this variation. Jegadeesh
excess return using the Dow Jones Industrial Average, and Wu [2013], in a recent content analysis model,
S&P 500, and the Nasdaq indices from 1973 to 1995. proposed that the appropriate choice of term weight-
Their results support that there is a positive correl- ing in content analysis is more important than a com-
ation between excess return and a shift in investor plete and accurate compilation of the word list. The
sentiment and a negative correlation between return availability of advanced content analysis methodolo-
volatility and a shift in investor sentiment. Brown and gies allows financial professionals to capture market
Cliff [2004, 2005] documented that sentiment affects sentiment and emotion from different news media
asset valuations. They found that sentiment is strongly and social media contents.
correlated with contemporaneous market returns but Media plays an essential role in diffusing informa-
has little predictive power for near-term returns. They tion in financial markets (Peress [2014]). The effect of
further found that future 2- to 3-year horizon market investor sentiment and emotion is also propagated
returns are negatively related to investor sentiment. rapidly through media among different groups of
Baker and Wurgler [2006] studied the investor senti- financial analysts, journalists and investors. Media has
ment effects on the cross-section of stock returns. become the key player in setting the stage for market
Based on their study, the cross-section of future stock moves and provoking them (Shiller [2000], Garcia
returns is conditional on beginning-of-period proxies [2013]). News media and social media are the 2 most
for sentiment. Sentiment has the strongest effect on popular channels through which to communicate
stocks that are characterized as small, young, highly information in written forms. Research articles have
volatile, unprofitable, non–dividend paying, extreme documented that stock prices are influenced by the
growth, or distressed. The previous investor sentiment sentiment reflected in both market-level media sources
research adopted economic-based or survey-based sen- and firm-specific news stories. Tetlock [2007] found
timent metrics. The traditional investor sentiment that high media pessimism predicts downward pres-
measures adopt a range of methods, including sure on market prices followed by a reversion to fun-
investor surveys (Brown and Cliff [2004]), closed-end damentals. Tetlock, Saar-Tsechansky, and Macskassy
fund discounts (Zweig [1973], Neal and Wheatley [2008] extended this line of research into a cross-sec-
[1998]), trading volumes (Baker and Stein [2004]), tional study of individual firms’ news sentiment effects
and composite sentiment indices based on the first on their accounting earnings and stock returns. Their
principal component of common sentiment proxies main findings indicate that the negative content in the
(Baker and Wurgler [2006], Gao and Suss [2015]). firm-specific news is related to low firm earnings;
In recent years, more accurate and efficient senti- firms’ stock prices underreact to the information
ment measures have been invented from increasingly embedded in negative words, which suggests a short-
sophisticated textual content analysis coupled with run momentum trading strategy; and the negative
4 J. GRIFFITH ET AL.

words in the news about fundamentals have the larger stock performance in the financial market. Fang and
predictive power for both earnings and returns. A Peress [2009] documented that stocks not covered by
time series study of stock return responses to financial the news media earn higher future returns than those
news sentiment from 1905 to 2005 was conducted by that are highly covered. Their interpretation is that
Garcia. Leinweber and Sisk [2011] included event stocks with high media coverage have a lower infor-
studies and U.S. portfolio simulation results for “pure mational risk, so those stocks require a lower return
news” signals applied over 2006–2009. Research has to compensate for the lower risk. Da, Engelberg, and
suggested that news content predicts stock returns on Gao [2014] applied search frequency in Google as a
a daily basis. Heston and Sinha [2017] used a dataset measure of investor attention. They found that an
of more than 900,000 news stories to test whether increase in search volume leads to a higher stock price
news can predict stock returns. They measured senti- in a 2-week time horizon and that the stock price
ment with a proprietary Thomson Reuters neural net- eventually drops down in the long run. Barber and
work and found that daily news predicts stock returns Odean [2008] hypothesized that investor attention can
for only 1 to 2 days. Uhl, Pedersen, and Malitius be a scarce resource for individuals, but it is not as
[2015] combined company- and macro-specific news scarce for institutional investors. However, Fang,
sentiment from around 100,000 news pieces per week Peress, and Zheng [2014] found that mutual funds
and used the CUSUM filter method to calculate tend to buy stocks with high media coverage, whereas
momentum in news sentiment. The predictive power their sells are less influenced by media coverage. The
is particularly strong during economic recessions finding that sells are less influenced by media coverage
because investors’ sensitivity to news is heightened suggests that institutional investors are at least partially
when they encounter hard times. subject to limited attention. Previous research has also
Along with the rapid growth of social media appli- demonstrated a “media bias” toward local investors’
cations in online communication, a line of research and local firms’ interests (Mullainathan and Shleifer
on social media-based information and sentiment’s [2005], Gentzkow and Shapiro [2006], Engelberg and
impact on stock market activities has recently arisen Parsons [2011], Gurun and Butler [2012]). Engelberg
as a frontier study area. Chen, De, Hu, and Hwang and Parsons investigated the behavior of traders in 19
[2014] studied whether investor opinions that appear mutually exclusive trading regions, where these traders
on social media have predictive power for future stock are subjected to different media coverage of the same
returns and earnings surprises. They found that in news event. They document that the local media cover-
addition to information reported in news media, the age of a news event is strongly related to local trading
views expressed in both articles and commentaries on activities. Gurun and Butler provided evidence that
social media strongly correlate with future stock local news provides favorable news reports to local
returns and earnings surprises. Karabulut [2013] treats companies. The local positive slant is related to firms’
Facebook’s Gross National Happiness (GNH) Index as local media advertising expenditures.
an equivalent measure of investor sentiment. In an Investors’ psychological biases in their information
empirical study, he found that changes in both daily processing and financial decision making have been
returns and trading volume in the U.S. stock market found to be highly related to their emotions. Recent
can be affected by Facebook’s GNH, and those influen- finance literature has provided empirical evidence on
ces are shown to be temporary effects. Sun, Najand, 4 different investor emotions (fear, gloom, joy, stress)
and Shen [2016] further explored the predictive rela- and their effects on financial markets. The most com-
tion between high-frequency investor sentiment and monly documented emotion in existing finance
stock market returns. The empirical evidence suggested research is fear. Financial crises often inject consider-
that intraday S&P 500 index returns can be predicted able fear into future market movement, and that effect
by lagged half-hour investor sentiment. The sentiment usually slows down the financial recovery process or
index used in this study and Huang, Lehkonen, even creates more turmoil in the market. The implied
Pukthuanthon, and Zhou [2018] is from the TRMI, volatility indices are often used as proxies for market
which is computed based on a comprehensive collec- fear. High levels of implied volatility indicate that
tion of both traditional and social media sources. investors are fearful of market prospects; therefore,
Many other media-caused biases on asset prices previous research has adopted implied volatility indi-
have also received increasing attention in academic ces (including the Implied Volatility Index [VIX],
research. Several financial studies have investigated among others) to forecast forward-looking stock
how news coverage and investor attention could drift returns and other financial security returns (Rubbaniy,
JOURNAL OF BEHAVIORAL FINANCE 5

Asmerom, Rizvi, and Naqvi [2014], Esqueda, Luo, and so the benefits of portfolio diversification diminish
Jackson [2015]). Da, Engelberg, and Gao [2014] estab- during a stressful market state. Research has also sug-
lish a daily fear index–based internet search index gested that investors’ herding behavior increases with
with data from millions of households. They found stress in the stock market and that herding toward the
that the Internet search–based fear index can predict market portfolio often occurs during periods of high
asset prices, volatility, and mutual fund flows. market stress (Hwang and Salmon [2004], Blasco,
The other commonly documented emotions in recent Corredor, and Ferreruela [2012]).
finance literature are gloom, joy, and stress. Investors Despite the recent research success on a single
tend to lose their faith and hope in the stock market dimension of investor emotion, there remains a need
after experiencing a long-lasting recession. Uhl [2018] for a complete empirical model for investor emotion-
explained asymmetric reactions in implied volatility of based asset pricing. In this research, we aim to provide
S&P 500 Index options across the term structure based a range of tests on the robustness of different investor
on news sentiment. Using put options as a proxy for emotion models based on the multiple dimensions of
fear and call options as a proxy for greed, Uhl found investor emotion indices and to suggest a complete
that the reaction is more pronounced for fear than for investor emotion-associated asset pricing model.
greed, and this asymmetry is more pronounced when
the time to maturity of the option is shorter.
Data and methodology
Additionally, Smales [2014] found that the changes
in implied volatility are larger following the release of We obtain the data for our analysis from TRMI. The
negative news items. The gloomy stage of the market TRMI are updated every minute and derived from a
downturn may take years to recover because investors collection of premium news, global internet news
are more sensitive to the fragile market (Lauricella coverage, and a broad group of social media outlets
[2011]). Azzi and Bird [2005] found that market (Peterson [2013], Huang, Lehkonen, Pukthuanthon,
boom or gloom states affect analysts’ recommendation and Zhou [2018]). The TRMI utilizes contents derived
tendency, where analysts’ recommendations favor high both from news and social media to reflect the senti-
momentum growth stocks more during boom years ment of both professional and individual investors.
than during gloom years. For the first category, MarketPsych sources of text
On the other hand, a recent article shows that include The New York Times, The Wall Street Journal,
investments made in hotels during booms underper- Financial Times, Seeking Alpha, and dozens of more
form for a few years (Povel, Sertsios, Kosova, and sources available to professional investors. Less formal
Kumar [2016]). Researchers speculate that people’s news sources are obtained from Yahoo! and Google
happiness is highly correlated with their income, News. For the second category, TRMI utilizes over 2
although the causal relationship between the 2 may be million social media sites, including StockTwits,
bilateral (Tella, MacCulloch, and Oswald [2003]). Yahoo! Finance, Blogger, chat rooms and other sour-
Finance researchers often regard sunshine and tem- ces. MarketPsych employs lexical analysis to extract
perature as indicators of investors’ joy or happiness. sentiment indices by scrapping all sources minutely,
Hirshleifer and Shumway [2003] confirmed that the which includes over 2 million news articles and posts
stock market performs on sunny days than on cloudy every day. Each sentiment index is a combination of
days. This documented “sunlight effect” is attributed news and social media content, and each minute value
to investors’ joyful mood because of the sunshine is a simple average of the past 24 hr (1,440 min) of
rather than to long-term value growth. Karabulut information (Peterson [2013]). Thus, the TRMI repre-
[2013] adopted Facebook’s GNH as a measure of sents an unmatched collection of premium news and
investor happiness manifested on social media. He a broad range of social media sources.1
found that “an increase of one standard deviation in
GNH has associated with an increase of 11:23 basis
Emotion sentiment variables
points in market returns over the next day.”
Engelberg and Parsons [2016] revealed that daily stock For our analysis, we choose 4 TRMI emotional and 1
return is inversely linked to stress-induced psycho- traditional sentiment measures. These measures are
logical illness. Preis, Kenett, Stanley, Helbing, and fear, joy, gloom, volume, and stress. Each sentiment
Ben-Jacob [2012] proposed that average correlation index (except for volume) is a 24-hr rolling average
among the stocks listed on Dow Jones Industrial score of references in the news and social media to
Average increases with the increase in market stress, that particular measure. All measures range from 0 to
6 J. GRIFFITH ET AL.

Table 1. Descriptive statistics and correlations.


cMP_FEAR cMP_GLOOM cMP_JOY cMP_STRESS LogVolume Spr
Panel A
N 2,450 2,450 2,450 2,450 2,450 2,450
Mean 0.0000799 0.0005890 0.0001152 0.0004651 19.37287 0.01851
Std Dev 0.00123 0.00379 0.00153 0.00443 0.82122 1.22663
Sum 0.19574 1.44828 0.28230 1.13960 47464 45.34929
Minimum –0.00492 –0.01617 –0.00681 –0.01807 17.02138 –9.45954
Maximum 0.00775 0.02309 0.00889 0.02102 20.72292 6.70488
Panel B
cMP_FEAR 1.00000

cMP_GLOOM 0.16254  1.00000


(<.0001)
cMP_JOY –0.10137  –0.17455  1.00000
(<.0001) (<.0001)
cMP_STRESS 0.19786  0.25235  –0.23859  1.00000
(<.0001) (<.0001) (<.0001)
LogVolume –0.00323  –0.02987  –0.00828  –0.02943  1.00000
(0.8729) (0.1394) (0.6822) (0.1453)
Spr –0.12226  –0.09745  0.11590  –0.13535  0.03661  1.00000
(<.0001) (<.0001) (<.0001) (<.0001) (0.0700)
Note. This table provides summary statistics (Panel A) and correlation coefficients (Panel B) for the full sample of 2450 daily observations from January 1,
1998, to December 31, 2014. The emotional indicator data in the table come from the Thomson Reuters MarketPsych Indices (TRMI), and the stock
return data in the table come from the Global Financial Database. Among the variables, cMP_FEAR is daily change in market-level fear, cMP_JOY is
daily change in market-level joy, cMP_GLOOM is daily change in market-level gloom, cMP_STRESS is daily change in market-level stress, Log Volume is
the log of the daily NYSE trading volume, and Spr is the log of the daily S&P 500 index returns. In Panel B,  denotes significance at the 1% level.

1, except for volume. Our data sets are daily data Cliff [2004, 2005] examined the usefulness of senti-
from January 1, 1998, through December 31, 2014. ment in predicting stock returns. They found that
We also use log returns on the S&P 500 index as the stock returns the Granger-cause sentiment, while
measure of market return, which is obtained from the sentiment is not helpful in predicting stock returns.
Global Financial Database. Verma, Baklaci, and Soydemir [2008], on the other
Table 1 provides descriptive statistics and a correl- hand, found some predictive power of sentiment
ation matrix for the variables (emotion sentiment when they decompose sentiment into rational and
changes and market return) used in this study. The irrational components. Thus, the extent of the use-
market return (spr) is positively correlated with fulness of sentiment in predicting returns beyond
changes in joy and negatively correlated with changes the informational content of past returns has been
in fear, gloom, and stress. controversial. In this study, we investigate the
We plot the time series of S&P 500 return and the extent of how useful the informational content of
TRMI sentiment variables in Figures 1–5. By visual our sentiment measures in predicting stock returns
inspection of the graph, we can see that the S&P 500 using daily data for different measures of emo-
return and negative sentiments (fear, gloom, and tional sentiment.
stress) move in opposite directions while the S&P 500 We employ a vector autoregressive (VAR) model in
return and the positive sentiment (joy) moves in the which market returns and different measures of senti-
same direction. Before the great recession ment act as a system with the goal of identifying caus-
(2008–2009), negative sentiments (fear, gloom, and ality between sentiment and market similarly to
stress) started to rise and then fell after the market Brown and Cliff [2004]. The model we propose is
recovered. While our measure of positive sentiment,
X
5
joy (Figure 3), follows a similar pattern to the S&P Yt ¼ k þ wYti þ E t (1)
500 return (Figure 1). Taken together, we conclude i¼1
that overall the evidence is supportive of the notion where Yt is a vector that contains market returns and
that the TRMI indexes capture investor sentiments. different measures of sentiment (fear, joy, gloom,
stress, and volume).2 We estimate VAR models
Vector autoregressive analysis of sentiment
for periods up to 5 days long, based on selection met-
and returns
rics such as Akaike information criterion and
The predictive power of sentiment has always been a Bayesian information criterion, to investigate the
source of great interest to researchers. Brown and causal structures and forecasting capabilities of
JOURNAL OF BEHAVIORAL FINANCE 7

Series Values for spr

0
spr

-5

-1 0
1998 2000 2002 2004 2006 2008 2010 2012 2014 2016
Date

Figure 1. S&P 500 Daily Returns 1998–2014.

Figure 2. TRMI Fear Index 1998–2014.

Series Values for MP_JOY

0 .0 2 5

0 .0 2 0
MP_JOY

0 .0 1 5

0 .0 1 0

1998 2000 2002 2004 2006 2008 2010 2012 2014 2016

Date

Figure 3. TRMI Joy Index 1998–2014.


8 J. GRIFFITH ET AL.

Series Values for MP_GLOOM

0 .0 7

0 .0 6
MP_GLOOM

0 .0 5

0 .0 4

0 .0 3

0 .0 2
1998 2000 2002 2004 2006 2008 2010 2012 2014 2016

Date

Figure 4. TRMI Gloom Index 1998–2014.

Series Values for MP_STRESS

0 .1 0
MP_STRESS

0 .0 8

0 .0 6

1998 2000 2002 2004 2006 2008 2010 2012 2014 2016
Date

Figure 5. TRMI Stress Index 1998–2014.


These figures provide impulse responses of the S&P 500 stock returns and investor emotions to its 5-day lag. The sample period
comprised 2,453 trading days from January 1, 1998, to December 31, 2014. The emotional indicator data in the table come from
the Thomson Reuters MarketPsych Indices (TRMI), and the stock return data in the table come from the Global Financial Database.
Among the variables, MP_FEAR is the daily market-level fear, MP_JOY is the daily market-level joy, MP_GLOOM is the daily mar-
ket-level gloom, MP_STRESS is the daily market-level stress, and Spr is the daily log returns of the S&P 500.

sentiment measures. We estimate the models using Sentiment measures and stock return volatility
both the levels of and changes in the sentiment
measure. Brown and Cliff [2004] argued that this is The effect of sentiment on stock returns and volatility
appropriate “since it not easily determined which is not very clear. Some researchers have found that
specification should reveal the primary effects of sentiment affects both the mean and variance of stock
sentiment.” They argued that from a theoretical returns (Lee et al. [2002], Verma and Verma [2007]).
standpoint, both levels of and changes in sentiment However, Wang et al. [2006] found that the forecast-
may affect stock returns. Uhl [2014] utilized VAR ing power of sentiment for volatility disappears if
lagged returns are included in the models. We utilize
models with monthly frequency and found positive
a TGARCH model to investigate the effect of senti-
and negative Reuters sentiment have an impact on
ment measures on stock mean return and volatility.
stock returns. The author found negative Reuters sen-
The TGARCH model incorporates the leverage effect
timent seems to be more persistent than positive
since it has a certain term for negative return
Reuters sentiment.
JOURNAL OF BEHAVIORAL FINANCE 9

Figure 6. Impulse response function.

innovations (Zakoian [1994]). We employ the follow- Ht ¼ x þ ðw þ b; 1fet –1<0g Þe t–1


2
þ c1 Ht–1 (3)
ing TGARCH (1,1) model to investigate the effects of
sentiment measures on market returns volatility: In the previous TGARCH model, the coefficient to
the lagged square error in a GARCH model is allowed
RS&P; t ¼ a0 þ a1 RS&P; t–1 þ a2 Feart þ a3 Joyt to attain different values, depending on the sign of the
þ a4 Gloomt þ a5 Stresst þ et (2) lagged error term. In this TGARCH model, the
10 J. GRIFFITH ET AL.

indicator function is 1 if et–1 < 0 and 0 otherwise. In Market return is affected by fear (cMP_FEAR) at lags
this model, for positive lagged errors, the coefficient is of 2 and 4 days and statistically significant for both
just the w parameter, while the coefficient for negative lags at the 5% level. Market return is also influenced
error terms is w þ b. by the sentiment measure of stress (cMP_STRESS) at
a lag of 1 day at the 10% level. The other measures of
sentiment (joy, gloom, and volume) do not affect
Empirical results
market return. The sentiment measure of fear is influ-
Table 2, Panel A, presents the estimated daily parame- enced by a market return at lag 1 and is statistically
ters for the VAR (5) model with 5 sentiment-level significant at the 1% level. The results for other meas-
measures (fear, joy, gloom, stress, and volume). Out ures of sentiment resemble those reported in Table 2
of the 5 measures of sentiment, only fear is significant (i.e., sentiment does not affect market return but is
and capable of predicting market returns in a period influenced by market return).
up to 5 days. The coefficient for fear, where the mar- There is strong evidence that the relationship
ket return is the dependent variable, is significant at between the change in fear and market return is bidir-
lag 2 and has a t statistic of 1.78, which is statistically ectional. Fear affects market returns up to 4 lags, and
significant at the 10% level. The coefficient for fear at in turn, it is influenced by the market return at a 1-
lag 4 has a t statistic of 1.72, which is also statistically day lag. This finding is in contrast with that of Brown
significant at the 10% level. The coefficient for fear at and Cliff [2004], who reported that market returns
lag 5 has a t statistic of –2.08 and is significant at the influence investor sentiment, but “The effects of
5% level. Turning our attention to fear as the depend- investor sentiment on subsequent returns are quite
ent variable, we find that lagged values of fear and small.” It is quite clear to us that the choice of senti-
market return influence this sentiment measure. The ment affects this relationship. Fear appears to have a
market return at lag 1 has a t statistic of –10.22 and is substantial influence on future market returns, while
statistically significant at the 1% level. The market other measures of investor sentiment (joy, gloom, and
return also influences fear at a lag of 2 days, has a t stress) have little or no effect on future returns. Our
statistic of –1.73 and is statistically significant at the results are also consistent with Tetlock’s [2007] find-
10% level. ings on the sentiment theory, which predicts that the
The sentiment measure joy is influenced by the lag results will be reversed in the short horizon. Also con-
of market return up to 2 days and the other measures sistent with Tetlock’s findings is our finding that high
of sentiment. It is influenced by stress for up to 1 day, levels of fear and gloom predict downward pressure
gloom for up to 3 days, and fear for up to 4 days. Joy on market prices, and high values of these pessimism
is related to its past values for up to 5 days. The senti- sentiments predict high trading volume and serve as a
ment measure stress is influenced by the previous proxy for investor sentiment trading.
day’s market return, gloom for up to 4 days, Volume Overall, some of our results surprisingly conflict
for up to 3 days, and gloom for up to 4 days. Volume with those of previous studies, as we find that some
is influenced by the market return for up to 2 days measures of sentiment have strong predictive power.
and by fear and stress for up to 5 days. Out of the 4 measures of sentiment (fear, joy, gloom,
Table 2, Panel B, shows the results of estimates of and stress), fear is significant at lags of up to 4–5
the system using the change in sentiment measures. days. This significance indicates that fear causes

Table 2. AR estimates of the relation between stock returns and emotions.


Panel A I. Predicting S&P 500 returns using changes in sentiment measures.
S&P 500 Returns
Emotional Indicators MP_FEAR MP_GLOOM MP_JOY MP_STRESS LogVolume Spr
Investor Emotionst1 7.24535 –2.05990 11.98361 –6.28205 –0.07598 –0.01406
(0.32) (–0.29) (0.68) (–0.99) (–0.67) (–0.68)
Investor Emotionst2 42.76968 –8.76807 –4.70875 6.04609 0.09381 0.02229
(0.0746) (0.2589) (0.8051) (0.3764) (0.4331) (0.2979)
Investor Emotionst3 –28.43230 13.14652 24.54766 6.46966 0.05688 –0.00873
(0.2356) (0.0882) (0.1971) (0.3424) (0.6391) (0.6828)
Investor Emotionst4 41.18187 –1.14285 –3.56170 –6.19283 0.05689 0.03772
(0.0854) (0.8831) (0.8512) (0.3659) (0.6379) (0.0755)
Investor Emotionst5 –46.63145 –8.99388 –7.61670 –8.62348 –0.08393 0.03782
(0.0378) (0.2079) (0.6628) (0.1717) (0.4676) (0.0722)
JOURNAL OF BEHAVIORAL FINANCE 11

II. Feedback effects of S&P 500 returns on sentiment measures.


Emotional Indicators MP_FEAR MP_GLOOM MP_JOY MP_STRESS LogVolume
S&P 500 Returnst1 –0.00020 –0.00045 0.00011 –0.00039 –0.02236
(0.0001) (0.0001) (0.0001) (0.0001) (0.0001)
S&P 500 Returnst2 –0.00003 –0.00000 –0.00004 0.00001 –0.00762
(0.0845) (0.9788) (0.0940) (0.8650) (0.0462)
S&P 500 Returnst3 –0.00001 0.00002 –0.00002 0.00004 –0.00332
(0.7684) (0.7934) (0.4135) (0.5672) (0.3841)
S&P 500 Returnst4 0.00003 –0.00003 –0.00001 –0.00000 0.00395
(0.1611) (0.6012) (0.6913) (0.9645) (0.2973)
S&P 500 Returnst5 0.00002 –0.00001 –0.00002 0.00010 0.00322
(0.4271) (0.8523) (0.5416) (0.1805) (0.3910)

Panel B III. Predicting S&P 500 returns using changes in sentiment measures.
S&P 500 Returns
Emotional Indicators cMP_FEAR cMP_GLOOM cMP_JOY cMP_STRESS LogVolume Spr
Investor Emotionst1 –3.40856 3.74980 12.73912 –11.57809 –0.10443 –0.01365
(0.8765) (0.5950) (0.4704) (0.0651) (0.10443) (0.5109)
Investor Emotionst2 49.19478 –6.14296 10.91673 –8.07179 0.05331 0.01800
(0.0321) (0.3949) (0.5495) (0.2161) (0.6547) (0.3989)
Investor Emotionst3 9.18601 8.74953 15.36164 1.05858 0.04567 –0.01087
(0.6903) (0.2286) (0.4007) (0.8720) (0.7050) (0.6105)
Investor Emotionst4 45.59842 –3.08257 19.80056 3.88275 0.02626 0.03771
(0.0470) (0.6703) (0.2767) (0.5511) (0.8268) (0.0764)
Investor Emotionst5 –17.26032 –7.26326 21.48029 –8.15370 –0.12058 0.03096
(0.4283) (0.3032) (0.2201) (0.1925) (0.2885) (0.1436)

IV. Feedback effects of S&P 500 Returns on changes in sentiment measures.


Emotional Indicators cMP_FEAR cMP_GLOOM cMP_JOY cMP_STRESS LogVolume
S&P 500 Returnst1 –0.00017 –0.00035 0.00011 –0.00033 –0.02440
(0.0001) (0.0001) (0.0001) (0.0001) (0.0001)
S&P 500 Returnst2 –0.00002 0.00001 0.00001 0.00001 –0.00903
(0.3587) (0.9121) (0.7545) (0.8528) (0.0183)
S&P 500 Returnst3 0.00000 0.00002 –0.00000 0.00001 –0.00485
(0.9468) (0.7941) (0.9678) (0.8462) (0.2046)
S&P 500 Returnst4 –0.00002 –0.00007 0.00000 –0.00012 0.00269
(0.4539) (0.2875) (0.9155) (0.1153) (0.4801)
S&P 500 Returnst5 –0.00002 0.00002 0.00001 0.00001 0.00258
(0.2825) (0.6996) (0.8181) (0.8901) (0.4965)
Note. This table provides vector autoregressive (VAR) model parameter estimates of the S&P 500 stock returns on investor sentiment
measures to its 5-day lag. The sample period comprised 2450 trading days from January 1, 1998, to December 31, 2014. The emo-
tional indicator data in the table come from the Thomson Reuters MarketPsych Indices (TRMI), and the stock return data in the table
come from Global Finance database. Among the variables, MP_FEAR is daily market-level fear, MP_JOY is daily market-level joy,
MP_GLOOM is daily market-level gloom, MP_STRESS is daily market-level stress, LogVolume is the log of the daily NYSE trading vol-
ume, and Spr is the log of the daily S&P 500 index returns, cMP_FEAR is the daily change in market-level fear, cMP_JOY is the daily
change in market-level joy, cMP_GLOOM is the daily change in market-level gloom, cMP_STRESS is the daily change in market-level
stress. In the table,  denotes significance at the 10% level,  denotes significance at the 5% level, and  denotes significance at
the 1% level.

returns and should be exploitable to predict future cMp_Fear has the largest impact, with a coefficient of
market returns for up to 5 days. This effect is bidirec- –74.9378, which is statistically significant at the 1%
tional and runs from this sentiment measure to stock level. The negative sign indicates that changes in fear
returns and from the returns to this sentiment meas- are associated with drops in the market return.
ure (fear). In the next section, we investigate the cMP_Joy has the second largest coefficient of 41.6085,
effects of sentiment measures on mean return which is also statistically significant at the 1% level.
and volatility. The coefficient has a positive sign, implying that
increases in joy are associated with increases in the
market return. The gloom and stress coefficients have
Investor sentiment and stock return volatility
the correct sign (negative) and are statistically signifi-
Table 3 presents the estimates of TGARCH (1,1), cant at the 1% level.
Models 2 and 3. The model fits very well, and all the The coefficients for conditional volatility are all
coefficients for the model are highly significant. highly statistically significant. The asymmetric param-
Among the sentiment measures in the model, eters are positive and significant. The results support
12 J. GRIFFITH ET AL.

strong leverage effects, where negative shocks have a

the variables, cMP_FEAR is the daily change in market-level fear, cMP_GLOOM is the daily change in market-level gloom, cMP_JOY is the daily change in market-level joy, cMP_STRESS is the daily change in mar-
7075.60397

7078.27606

7061.93633

7016.70712

December 31, 2014. The emotional indicator data in the table come from the Thomson Reuters MarketPsych Indices (TRMI), and the stock return data in the table come from Global Finance database. Among
Note. This table provides threshold GARCH (TGARCH) Estimates of the S&P 500 stock returns on different models of the investor emotions. The sample period comprised 2450 trading days from January 1, 1998, to
7068.1374
AIC
larger effect on the volatility of S&P 500 returns
(leverage effects). When et–1 is negative, the total
effects are given by (w þ b) e2t–1. Thus, one would
0.0197 expect b to be positive for bad news and to have
0.0137

0.0156

0.0208

0.0422
R2

larger impacts. As w > 0, this implies that conditional


volatility increases more because of negative shocks
than because of positive shocks of equal size. The
0.8800

0.8793

0.8764

0.8780

0.8731
TGARCH1

(81.35)

(78.84)

(79.18)

(78.91)

(73.98)
coefficients for TARCH are statistically significant and
imply that negative shocks to the market return have
almost 3 times the impact on conditional volatility as
0.1211

0.1214

0.1212

0.1205

0.1187

positive shocks.
TARCHB1

(7.92)

(8.03)

(7.75)

(8.02)

(7.48)

ket-level stress, and Spr is the daily log returns of the S&P 500. In the table,  denotes significance at the 5% level and  denotes significance at the 1% level.
In summary, our TGARCH (1,1) model with emo-
tion measures fits the data very well. We find that the
fear among investors has a major and lasting effect on
0.0358

0.0360

0.0377

0.0375

0.0422
TARCHA1

the market return and conditional volatility. The find-


(3.20)

(3.17)

(3.21)

(3.30)

(3.37)

ings in this section regarding market return and con-


ditional volatility confirm our findings from the VAR
(5) model that fear in the marketplace causes large
0.0285

0.0289

0.0303

0.0288

0.0296
TARCHA0

volatility that lasts up to 4 days. This sentiment meas-


(5.80)

(5.76)

(5.92)

(5.84)

(5.67)

ure could be used to predict market return


and volatility.
–0.0534

–0.0448

–0.0636
Lagged spr

–0.0412

–0.0436
(–2.44)

(–2.05)

(–1.89)

(–2.03)

(–2.95)

Robustness check
To confirm the robustness of our main finding in the
previous sections that investor fear affects market
–26.6205

–17.2930

return and volatility, we include an alternative meas-


cSTRESS

(–6.58)

(–4.05)

ure of fear (VIX) known as the “fear index” and


University of Michigan Consumer Sentiment Index
(UMCSI) in our TGARCH model. We are interested
in knowing whether our results are sensitive to the
62.1722

43.0263
(5.45)

(3.61)

inclusion of these variable in our models. The UMCSI


cJOY

is available on monthly basis. Thus, when we include


UMCSI in the model, we convert the data from daily
to monthly.
–27.2520

–17.8333
Table 3. Stock returns volatility and investors’ emotions.
cGLOOM

The VIX is calculated by CBOE and represents the


(–5.64)

(–3.55)

implied volatility of an at-the-money option (both


calls and puts) on S&P 500 stock index option prices
with more than 23 days and less than 37 days to
–95.2792

–74.9378

expiration. VIX is considered the world’s premier bar-


(–6.73)

(–5.19)
cFEAR

ometer of investor sentiment and market volatility.


We estimate the following TGARCH (1,1) model:
RS&P; t ¼ a0 þ a1 RS&P t–1 þ a2 VIXt þ a3 Feart
0.0549

0.0503

0.0589

þ a4 UMCSIt þ et
0.0457
Intercept

(4)
0.0322
(2.43)

(2.89)

(1.69)

(2.67)

(3.09)

Ht ¼ x þ ðw þ b; 1fet –1<0g Þe t–1


2
þ c1 Ht–1 (5)
where VIX is the CBOE Volatility Index, fear is the
Emotions’ effect

change in the fear sentiment, and UMCSI is the


Gloom effect

Stress effect

University of Michigan Consumer Sentiment Index.


Fear effect

Joy effect

Multiple

Table 4, Panel A, reports the estimates for the


TGARCH (1,1) model of the previous specification on
JOURNAL OF BEHAVIORAL FINANCE 13

Table 4. Robustness check with VIX and UMCSI


Panel A – Daily Data
Intercept cFEAR VIX UMCSI Lagged spr TARCHA0 TARCHA1 TARCHB1 TGARCH1 R2 AIC
Multiple 0.3531 –96.0859 –0.0175 –0.0661 0.0180 0.0521 0.0927 0.8925 0.0485 7033.83364
Emotions’ effect (6.58) (–6.90) (–6.95) (–3.09) (3.94) (4.75) (6.73) (82.07)

Panel B – Monthly Data


Multiple –390.0617 –95.3009 –0.0178 0.0827 –0.5682 0.0875 0.2715 –0.0867 0.5723 0.3791 397.142291
Emotions’ effect (–4.21) (–2.91) (–4.21) (0.93) (–13.01) (1.52) (2.29) (–.58) (3.20)
Note. This table provides Threshold GARCH (TGARCH) Estimates of the S&P 500 stock returns on different models of the investor emotions. The sample
period comprised 2450 trading days from January 1, 1998, to December 31, 2014. The emotional indicator data in the table come from the Thomson
Reuters MarketPsych Indices (TRMI), and the stock return data in the table come from Global Finance database. Among the variables, cMP_FEAR is the
daily change in market-level fear, VIX is CBOE S&P 500 Volatility Index, UMCSI is the University of Michigan Consumer Sentiment Index and Spr is the
daily log returns of the S&P 500. AIC ¼ Akaike information criterion. In the table,  denotes significance at the 5% level and  denotes significance
at the 1% level.

daily data. The coefficients of interest are a2, and a3 the 4 measures of sentiment (fear, joy, gloom, and
in (4). Both coefficients are statistically significant at stress), fear is significant at lags of up to 4–5 days.
the 1% level. The inclusion of the “fear index” (VIX) This indicates that fear Granger causes returns and
in our model does not change the significance of the should be exploitable to predict future market returns
sentiment measure of fear. The magnitude of the coef- up to 5 days. This effect is bidirectional and runs
ficient for this negative sentiment increases by almost from this sentiment measure to stock returns for up
39%. This suggests that, if anything, the sentiment to 5 days and from returns to fear for up to 2 days.
measure of fear used in this article has a major effect The sentiment measure of stress has a small effect on
on the return and conditional volatility of the market. the market return for a 1-day lag. The other 2 senti-
Table 4, Panel B, reports the coefficients for our ment measures, gloom and joy, seem to play no role
TGARCH (1,1) model when UMCSI is included in in predicting market returns.
the model. Among the sentiment indexes, only To investigate the relations between sentiment
UMSCI is insignificant. Our measure investor’s fear measures and market return and volatility, we employ
appears to withstand these robustness tests very well. TGARCH (1,1) models. We find that our TGARCH
(1,1) model with emotion measures fits the data very
Conclusions well. We find that fear among investors has a major
and lasting effect on market returns and conditional
This study explores the interaction between media
volatility. The findings regarding market returns and
content and market returns and volatility. We utilize
conditional volatility confirm our findings from the
propriety investor sentiment measures developed by
VAR (5) model that fear in the marketplace causes
TRMI. The data are from a commercial-strength com-
large volatility that lasts up to 4 days. This sentiment
prehensive textual analysis that provides 24-hr rolling
measure could be used to predict stock market returns
average scores of total references in the news and
and volatility.
social media by counting overall positive references
To check the robustness of our results, we use an
net of negative references. We select 4 measures of
alternative measure of fear known as the “fear index”
investor sentiment that reflect both pessimism and
optimism of small investors. These measures are fear, (VIX). We find that the inclusion of this fear index in
gloom, joy, and stress. Our objective is twofold. First, our model does not change the significance of the
we examine the ability of these sentiment measures to sentiment measure of fear. The magnitude of the coef-
predict market returns. For this purpose, we use ficient for this negative sentiment increases by almost
dynamic VAR models. Second, we are interested in 39%. This suggests that, if anything, the sentiment
exploring the effects of these sentiment measures on measure of fear used in this article has a major effect
market return and volatility. For this purpose, we util- on the return and conditional volatility of the market.
ize TGARCH models.
We explore the ability of sentiment measures to Notes
predict both the level of and change in market return,
1. TRMI’s text analytic techniques are designed to score
as suggested by Brown and Cliff [2004]. In our VAR
business-specific language for quantitative financial
models, we use 5 trading days (a calendar week) and applications. This is important because, as shown by
find, in contrast to previous studies, that some meas- Loughran and McDonald [2011], word lists that are not
ures of sentiment have strong predictive power. Of unique to finance might not correctly reflect tone in the
14 J. GRIFFITH ET AL.

financial context. TRMI’s entire content set includes Camerer, Colin, George Loewenstein, and Drazen Prelec.
millions of articles and posts each day from various “Neuroeconomics: How Neuroscience Can Inform
sources such as news wires, Internet news sources, and Economics.” Journal of Economic Literature, 43, (2005),
social media. Due to the wide variety of content pp. 9–64.
sources, cares have to be given when interpreting words Chen, Hailiang, Prabuddha De, Yu Jeffrey Hu, and Byoung-
or symbols that express emotions. For example, in Hyoun Hwang. “Wisdom of Crowds: The Value of Stock
social media someone may use an acronym such as Opinions Transmitted Through Social Media.” The
“LOL” that is unlikely to be used in a formal news Review of Financial Studies, 27, (2014), pp. 1367–1403.
press release. To account for these differences, TRMI Da, Zhi, Joseph Engelberg, and Pengjie Gao. “The Sum of
uses differentiated models for news, social media All Fears Investor Sentiment and Asset Prices.” The
forums, tweets, Securities and Exchange Commission Review of Financial Studies, 28, (2014), pp. 1–32.
filings, as well as earnings conference call transcripts. Daniel, Kent, David Hirshleifer, and Avanidhar
2. We include volume in the model because it is one of Subrahmanyam. “Investor Psychology and Security
the oldest measures of sentiment used by practitioners. Market Under-and Overreactions.” The Journal of
There is an old adage on Wall Street that “it takes Finance, 53, (1998), pp. 1839–1885.
volume to move prices.” Elster, Jon. “Emotions and Economic Theory.” Journal of
Economic Literature, 36, (1998), pp. 47–74.
Engelberg, Joseph, and Christopher A. Parsons. “Worrying
Acknowledgments About the Stock Market: Evidence from Hospital
The authors wish to thank Richard Peterson, Managing Admissions.” The Journal of Finance, 71, (2016), pp.
Director at MarketPsych, and Elijah DePalma, Senior 1227–1250.
Quantitative Research Analyst at Thomson Reuters for pro- Engelberg, Joseph E., and Christopher A. Parsons. “The
viding the authors with the proprietary TRMI data. Causal Impact of Media in Financial Markets.” The
Journal of Finance, 66, (2011), pp. 67–97.
Esqueda, Omar A., Yongli Luo, and Dave O. Jackson. “The
ORCID Linkage Between the US “Fear Index” and ADR Premiums
Under Non-frictionless Stock Markets.” Journal of
John Griffith https://orcid.org/0000-0003-4610-7463 Economics and Finance, 39, (2015), pp. 541–556.
Fang, Lily, and Joel Peress. “Media Coverage and the Cross-
section of Stock Returns.” The Journal of Finance, 64,
(2009), pp. 2023–2052.
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