The unprecedented global pandemic of COVID-19 has greatly impacted the stock market in terms of both price reactions and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an event study technique is developed considering...

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...