We find that an increase in the ``unusualness'' of news with negative sentiment predicts an increase in stock market volatility. Similarly, unusual positive news forecasts lower volatility. Our analysis is based on more than 360,000 articles on 50 large financial companies, published in...

The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...

This work assesses whether certain indicators constructed from unstructured information published in newspapers contain useful information regarding dynamics of Argentina's country risk volatility, estimated from a GARCH(1,1) model. The analysis covers the period 1998-2019. One standard...