text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the … public financial news on the S&P 500. Using automatic labeling techniques based on either stock index returns or dictionaries … returns, which partly fails in the mapping process between news and financial returns. …

market was shown to react to news unequally. Volatility spikes sharply when unexpected adverse news reaches the market while … exponential-GARCH(1,1) and GJR-GARCH(1,1) incorporating the market reactions to news. We noted the returns distribution is skewed … remaining unresponsive for a large part to positive news. For investors this has implications for trading strategies and risk …