Sentiment and hype of business media topics and stock market returns during the COVID-19 pandemic

Ernest N Biktimirov; Tatyana Sokolyk; Anteneh Ayanso

doi:10.1016/j.jbef.2021.100542

Sentiment and hype of business media topics and stock market returns during the COVID-19 pandemic

J Behav Exp Finance. 2021 Sep:31:100542. doi: 10.1016/j.jbef.2021.100542. Epub 2021 Jul 5.

Authors

Ernest N Biktimirov¹, Tatyana Sokolyk¹, Anteneh Ayanso¹

Affiliation

¹ Goodman School of Business, Brock University, 1812 Sir Isaac Brock Way, St. Catharines, ON L2S 3A1, Canada.

Abstract

We examine COVID-19 related topics discussed in the printed edition of the Wall Street Journal. Using text analytics and topic modeling algorithms, we discover 15 distinct topics and present differences in their sentiment (polarity) and hype (intensity of coverage) trends throughout 2020. Importantly, the hype of the topic, not the sentiment, relates to stock market returns. In particular, the hype scores for Debt market and Financial markets have the strongest positive relation to the stock market performance.

Keywords: COVID-19; Media hype; Media sentiment; Stock market; Text analytics; Topic modeling.