We exploit the novel Global Database of Events, Language and Tone (GDELT) to construct news-based financial sentiment measures capturing investor’s opinions for three European countries, Italy, Spain and France. We study whether deterioration in investor’s sentiment implies a rise in interest rates with respect to their German counterparts. Finally, we look at the link between agents’ sentiment and their portfolio exposure on the Italian, French and Spanish markets.
Tiozzo Pezzoli, L., Consoli, S., Tosetti, E., Big Data Financial Sentiment Analysis in the European Bond Markets, in Mining Data for Financial Applications, (Inglese, 16-20 September 2019), Springer International Publishing Switzerland, Cham 2020:<<LECTURE NOTES IN COMPUTER SCIENCE>>,11985 122-126. [10.1007/978-3-030-37720-5_10] [http://hdl.handle.net/10807/153922]
Big Data Financial Sentiment Analysis in the European Bond Markets
Tiozzo Pezzoli, Luca;Tosetti, Elisa
2020
Abstract
We exploit the novel Global Database of Events, Language and Tone (GDELT) to construct news-based financial sentiment measures capturing investor’s opinions for three European countries, Italy, Spain and France. We study whether deterioration in investor’s sentiment implies a rise in interest rates with respect to their German counterparts. Finally, we look at the link between agents’ sentiment and their portfolio exposure on the Italian, French and Spanish markets.
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