Investigation
Sentiment analysis in financial markets in a disruptive environment
Karime Chahuán-Jiménez
Categories
Published 2022-06-08
Keywords
- sentiment analysis,
- disruptive environment,
- financial market
How to Cite
Chahuán-Jiménez, K., & Riffo, M. (2022). Sentiment analysis in financial markets in a disruptive environment. CAPIC REVIEW, 20, 1–11. https://doi.org/10.35928/cr.vol20.2022.128
Copyright (c) 2022 Karime Chahuán-Jiménez, Monica Riffo
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Abstract
Disruptive environments generate a failure in the markets from different areas, one of the markets in which different sources of affectation are reiterated is the financial market, which often generates contagion in other markets and investors feel affected by the news and public information.
The purpose of this article is to analyze the sentiment generated by news related to financial markets in the face of the disruptive environment associated with the Covid.19 health crisis.
The methodology developed was based on an exploratory sequential analysis, starting with a literature review of the journals in the Web of Science, ranked according to their impact factor, categories and subcategories were determined that describe a disruptive environment allowing for the health crisis to be recognized as such and the subsequent application of Sentiment Analysis algorithms, to identify in the periods under analysis, before and after the structural breakdown of the markets, the effect of the news in the financial sphere.
According to the results obtained, it can be considered that the information delivered to the market after the structural breakdown, generated by Covid-19 in March 2020, has been mediated, since the subsequent period generated a drop in the positivism and subjectivity of the news, therefore, aiming to safeguard the decision making of investors.
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References
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Baumeister, C., & Peersman, G. (2013). Time-Varying Effects of Oil Supply Shocks on the US Economy. American Economic Journal-Macroeconomics, 5(4), 1-28. doi:10.1257/mac.5.4.1
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Bode, C., & Macdonald, J. R. (2017). Stages of Supply Chain Disruption Response: Direct, Constraining, and Mediating Factors for Impact Mitigation. Decision Sciences, 48(5), 836-874. doi:10.1111/deci.12245
Chahuán-Jiménez, K., Rubilar, R., de la Fuente-Mella, H., & Leiva, V. (2021). Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets. Entropy, 23(1), 100. doi:10.3390/e23010100
Chodorow-Reich, G. (2014). The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008-9 Financial Crisis. Quarterly Journal of Economics, 129(1), 1-59. doi:10.1093/qje/qjt031
Claessens, S., Kose, M. A., & Terrones, M. E. (2012). How do business and financial cycles interact? Journal of International Economics, 87(1), 178-190. doi:10.1016/j.jinteco.2011.11.008
Costello, A. M. (2020). Credit Market Disruptions and Liquidity Spillover Effects in the Supply Chain. Journal of Political Economy, 128(9), 3434-3468. doi:10.1086/708736
Coulibaly, B., Sapriza, H., & Zlate, A. (2013). Financial frictions, trade credit, and the 2008-09 global financial crisis. International Review of Economics & Finance, 26, 25-38. doi:10.1016/j.iref.2012.08.006
Crawford, G. (2015). Network depreciation and energy market disruption: Options to avoiding passing costs down the line. Economic Analysis and Policy, 48, 163-171. doi:10.1016/j.eap.2015.11.004
De Winne, J., & Peersman, G. (2016). Macroeconomic Effects of Disruptions in Global Food Commodity Markets: Evidence for the United States. Brookings Papers on Economic Activity, 183-286.
deMelo, M., Denizer, C., & Gelb, A. (1996). Patterns of transition from plan to market. World Bank Economic Review, 10(3), 397-424.
Duygan-Bump, B., Parkinson, P., Rosengren, E., Suarez, G. A., & Willen, P. (2013). How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility. Journal of Finance, 68(2), 715-737. doi:10.1111/jofi.12011
Epler, R. T., & Leach, M. P. (2021). An examination of salesperson bricolage during a critical sales disruption: Selling during the Covid-19 pandemic. Industrial Marketing Management, 95, 114-127. doi:10.1016/j.indmarman.2021.04.002
Federici, D., & Caprioli, F. (2009). Financial development and growth: An empirical analysis. Economic Modelling, 26(2), 285-294. doi:10.1016/j.econmod.2008.07.006
Fezzi, C., & Fanghella, V. (2020). Real-Time Estimation of the Short-Run Impact of COVID-19 on Economic Activity Using Electricity Market Data. Environmental & Resource Economics, 76(4), 885-900. doi:10.1007/s10640-020-00467-4
Garcia-Appendini, E., & Montoriol-Garriga, J. (2013). Firms as liquidity providers: Evidence from the 2007-2008 financial crisis. Journal of Financial Economics, 109(1), 272-291. doi:10.1016/j.jfineco.2013.02.010
Gertler, M., & Lown, C. S. (1999). The information in the high-yield bond spread for the business cycle: Evidence and some implications. Oxford Review of Economic Policy, 15(3), 132-150. doi:10.1093/oxrep/15.3.132
Gilchrist, S., & Zakrajsek, E. (2011). Monetary Policy and Credit Supply Shocks. Imf Economic Review, 59(2), 195-232. doi:10.1057/imfer.2011.9
Hayes, D. J., Schulz, L. L., Hart, C. E., & Jacobs, K. L. (2021). A descriptive analysis of the COVID-19 impacts on US pork, turkey, and egg markets. Agribusiness, 37(1), 122-141. doi:10.1002/agr.21674
Hendricks, K. B., Jacobs, B. W., & Singhal, V. R. (2020). Stock Market Reaction to Supply Chain Disruptions from the 2011 Great East Japan Earthquake. M&Som-Manufacturing & Service Operations Management, 22(4), 683-699. doi:10.1287/msom.2019.0777
Hsu, S. T., & Cohen, S. K. Overcoming the Incumbent Dilemma: The Dual Roles of Multimarket Contact During Disruption. Journal of Management Studies, 30. doi:10.1111/joms.12719
Huntington, H. G. (2003). Energy disruptions, interfirm price effects and the aggregate economy. Energy Economics, 25(2), 119-136. doi:10.1016/s0140-9883(02)00095-6
Huntington, H. G. (2018). Measuring oil supply disruptions: A historical perspective. Energy Policy, 115, 426-433. doi:10.1016/j.enpol.2017.12.020
Ivashina, V., & Scharfstein, D. (2010). Bank lending during the financial crisis of 2008. Journal of Financial Economics, 97(3), 319-338. doi:10.1016/j.jfineco.2009.12.001
Kang, W., Ratti, R. A., & Vespignani, J. L. (2017). Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production. Energy Economics, 66, 536-546. doi:10.1016/j.eneco.2017.01.027
Kaufmann, R. K. (2016). Price differences among crude oils: The private costs of supply disruptions. Energy Economics, 56, 1-8. doi:10.1016/j.eneco.2016.02.005
Kim, G., & Vera, D. (2019). Recent drivers of the real oil price: Revisiting and extending Kilian's (2009) findings. Energy Economics, 82, 201-210. doi:10.1016/j.eneco.2017.12.020
Loughran, T., & McDonald, B. (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10‐Ks. The Journal of finance, 66(1), 35-65.
Mishkin, F. S. (2011). Over the Cliff: From the Subprime to the Global Financial Crisis. Journal of Economic Perspectives, 25(1), 49-70. doi:10.1257/jep.25.1.49
Nguyen, T., Nguyen, H. G., & Yin, X. K. (2015). Corporate Governance and Corporate Financing and Investment during the 2007-2008 Financial Crisis. Financial Management, 44(1), 115-146. doi:10.1111/fima.12071
Ostergaard, C. R., & Park, E. (2015). What Makes Clusters Decline? A Study on Disruption and Evolution of a High-Tech Cluster in Denmark. Regional Studies, 49(5), 834-849. doi:10.1080/00343404.2015.1015975
Qiang, P., & Nagurney, A. (2012). A bi-criteria indicator to assess supply chain network performance for critical needs under capacity and demand disruptions. Transportation Research Part a-Policy and Practice, 46(5), 801-812. doi:10.1016/j.tra.2012.02.006
Ruan, J. Q., Cai, Q. W., & Jin, S. Q. Impact of COVID-19 and Nationwide Lockdowns on Vegetable Prices: Evidence from Wholesale Markets in ChinaJEL codes. American Journal of Agricultural Economics, 21. doi:10.1111/ajae.12211
Shen, B., & Li, Q. Y. (2017). Market disruptions in supply chains: a review of operational models. International Transactions in Operational Research, 24(4), 697-711. doi:10.1111/itor.12333
Smales, L. A. (2021). Geopolitical risk and volatility spillovers in oil and stock markets. Quarterly Review of Economics and Finance, 80, 358-366. doi:10.1016/j.qref.2021.03.008
Tang, C. H., Chin, C. Y., & Lee, Y. H. (2021). Coronavirus disease outbreak and supply chain disruption: Evidence from Taiwanese firms in China. Research in International Business and Finance, 56, 8. doi:10.1016/j.ribaf.2020.101355
Wang, J. C., Wang, Z. H., Wang, Y. Y., & Lai, F. J. (2017). Impacts of information reliability in a supply chain with market disruption risks. International Transactions in Operational Research, 24(4), 737-761. doi:10.1111/itor.12317
Wang, N. N., Fang, X., Gou, Q. L., & Liang, L. (2017). Supply chain performance under pull or push contracts in the presence of a market disruption. International Transactions in Operational Research, 24(4), 713-736. doi:10.1111/itor.12281
Wang, Y. B., Wang, J. J., & Wang, X. Y. (2020). COVID-19, supply chain disruption and China's hog market: a dynamic analysis. China Agricultural Economic Review, 12(3), 427-443. doi:10.1108/caer-04-2020-0053
Allen, F., Babus, A., & Carletti, E. (2009). Financial Crises: Theory and Evidence. In Annual Review of Financial Economics (Vol. 1, pp. 97-116). Palo Alto: Annual Reviews.
Alora, A., & Barua, M. K. (2021). The effect of supply chain disruptions on shareholder wealth in small and mid-cap companies. Supply Chain Management-an International Journal, 26(2), 212-223. doi:10.1108/scm-05-2020-0200
Baghersad, M., & Zobel, C. W. (2021). Assessing the extended impacts of supply chain disruptions on firms: An empirical study. International Journal of Production Economics, 231, 11. doi:10.1016/j.ijpe.2020.107862
Bassett, H. R., Lau, J., Giordano, C., Suri, S. K., Advani, S., & Sharan, S. (2021). Preliminary lessons from COVID-19 disruptions of small-scale fishery supply chains. World Development, 143, 8. doi:10.1016/j.worlddev.2021.105473
Baumeister, C., & Peersman, G. (2013). Time-Varying Effects of Oil Supply Shocks on the US Economy. American Economic Journal-Macroeconomics, 5(4), 1-28. doi:10.1257/mac.5.4.1
Beccue, P. C., Huntington, H. G., Leiby, P. N., & Vincent, K. R. (2018). An updated assessment of oil market disruption risks. Energy Policy, 115, 456-469. doi:10.1016/j.enpol.2017.12.013
Bode, C., & Macdonald, J. R. (2017). Stages of Supply Chain Disruption Response: Direct, Constraining, and Mediating Factors for Impact Mitigation. Decision Sciences, 48(5), 836-874. doi:10.1111/deci.12245
Chahuán-Jiménez, K., Rubilar, R., de la Fuente-Mella, H., & Leiva, V. (2021). Breakpoint Analysis for the COVID-19 Pandemic and Its Effect on the Stock Markets. Entropy, 23(1), 100. doi:10.3390/e23010100
Chodorow-Reich, G. (2014). The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008-9 Financial Crisis. Quarterly Journal of Economics, 129(1), 1-59. doi:10.1093/qje/qjt031
Claessens, S., Kose, M. A., & Terrones, M. E. (2012). How do business and financial cycles interact? Journal of International Economics, 87(1), 178-190. doi:10.1016/j.jinteco.2011.11.008
Costello, A. M. (2020). Credit Market Disruptions and Liquidity Spillover Effects in the Supply Chain. Journal of Political Economy, 128(9), 3434-3468. doi:10.1086/708736
Coulibaly, B., Sapriza, H., & Zlate, A. (2013). Financial frictions, trade credit, and the 2008-09 global financial crisis. International Review of Economics & Finance, 26, 25-38. doi:10.1016/j.iref.2012.08.006
Crawford, G. (2015). Network depreciation and energy market disruption: Options to avoiding passing costs down the line. Economic Analysis and Policy, 48, 163-171. doi:10.1016/j.eap.2015.11.004
De Winne, J., & Peersman, G. (2016). Macroeconomic Effects of Disruptions in Global Food Commodity Markets: Evidence for the United States. Brookings Papers on Economic Activity, 183-286.
deMelo, M., Denizer, C., & Gelb, A. (1996). Patterns of transition from plan to market. World Bank Economic Review, 10(3), 397-424.
Duygan-Bump, B., Parkinson, P., Rosengren, E., Suarez, G. A., & Willen, P. (2013). How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility. Journal of Finance, 68(2), 715-737. doi:10.1111/jofi.12011
Epler, R. T., & Leach, M. P. (2021). An examination of salesperson bricolage during a critical sales disruption: Selling during the Covid-19 pandemic. Industrial Marketing Management, 95, 114-127. doi:10.1016/j.indmarman.2021.04.002
Federici, D., & Caprioli, F. (2009). Financial development and growth: An empirical analysis. Economic Modelling, 26(2), 285-294. doi:10.1016/j.econmod.2008.07.006
Fezzi, C., & Fanghella, V. (2020). Real-Time Estimation of the Short-Run Impact of COVID-19 on Economic Activity Using Electricity Market Data. Environmental & Resource Economics, 76(4), 885-900. doi:10.1007/s10640-020-00467-4
Garcia-Appendini, E., & Montoriol-Garriga, J. (2013). Firms as liquidity providers: Evidence from the 2007-2008 financial crisis. Journal of Financial Economics, 109(1), 272-291. doi:10.1016/j.jfineco.2013.02.010
Gertler, M., & Lown, C. S. (1999). The information in the high-yield bond spread for the business cycle: Evidence and some implications. Oxford Review of Economic Policy, 15(3), 132-150. doi:10.1093/oxrep/15.3.132
Gilchrist, S., & Zakrajsek, E. (2011). Monetary Policy and Credit Supply Shocks. Imf Economic Review, 59(2), 195-232. doi:10.1057/imfer.2011.9
Hayes, D. J., Schulz, L. L., Hart, C. E., & Jacobs, K. L. (2021). A descriptive analysis of the COVID-19 impacts on US pork, turkey, and egg markets. Agribusiness, 37(1), 122-141. doi:10.1002/agr.21674
Hendricks, K. B., Jacobs, B. W., & Singhal, V. R. (2020). Stock Market Reaction to Supply Chain Disruptions from the 2011 Great East Japan Earthquake. M&Som-Manufacturing & Service Operations Management, 22(4), 683-699. doi:10.1287/msom.2019.0777
Hsu, S. T., & Cohen, S. K. Overcoming the Incumbent Dilemma: The Dual Roles of Multimarket Contact During Disruption. Journal of Management Studies, 30. doi:10.1111/joms.12719
Huntington, H. G. (2003). Energy disruptions, interfirm price effects and the aggregate economy. Energy Economics, 25(2), 119-136. doi:10.1016/s0140-9883(02)00095-6
Huntington, H. G. (2018). Measuring oil supply disruptions: A historical perspective. Energy Policy, 115, 426-433. doi:10.1016/j.enpol.2017.12.020
Ivashina, V., & Scharfstein, D. (2010). Bank lending during the financial crisis of 2008. Journal of Financial Economics, 97(3), 319-338. doi:10.1016/j.jfineco.2009.12.001
Kang, W., Ratti, R. A., & Vespignani, J. L. (2017). Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production. Energy Economics, 66, 536-546. doi:10.1016/j.eneco.2017.01.027
Kaufmann, R. K. (2016). Price differences among crude oils: The private costs of supply disruptions. Energy Economics, 56, 1-8. doi:10.1016/j.eneco.2016.02.005
Kim, G., & Vera, D. (2019). Recent drivers of the real oil price: Revisiting and extending Kilian's (2009) findings. Energy Economics, 82, 201-210. doi:10.1016/j.eneco.2017.12.020
Loughran, T., & McDonald, B. (2011). When is a liability not a liability? Textual analysis, dictionaries, and 10‐Ks. The Journal of finance, 66(1), 35-65.
Mishkin, F. S. (2011). Over the Cliff: From the Subprime to the Global Financial Crisis. Journal of Economic Perspectives, 25(1), 49-70. doi:10.1257/jep.25.1.49
Nguyen, T., Nguyen, H. G., & Yin, X. K. (2015). Corporate Governance and Corporate Financing and Investment during the 2007-2008 Financial Crisis. Financial Management, 44(1), 115-146. doi:10.1111/fima.12071
Ostergaard, C. R., & Park, E. (2015). What Makes Clusters Decline? A Study on Disruption and Evolution of a High-Tech Cluster in Denmark. Regional Studies, 49(5), 834-849. doi:10.1080/00343404.2015.1015975
Qiang, P., & Nagurney, A. (2012). A bi-criteria indicator to assess supply chain network performance for critical needs under capacity and demand disruptions. Transportation Research Part a-Policy and Practice, 46(5), 801-812. doi:10.1016/j.tra.2012.02.006
Ruan, J. Q., Cai, Q. W., & Jin, S. Q. Impact of COVID-19 and Nationwide Lockdowns on Vegetable Prices: Evidence from Wholesale Markets in ChinaJEL codes. American Journal of Agricultural Economics, 21. doi:10.1111/ajae.12211
Shen, B., & Li, Q. Y. (2017). Market disruptions in supply chains: a review of operational models. International Transactions in Operational Research, 24(4), 697-711. doi:10.1111/itor.12333
Smales, L. A. (2021). Geopolitical risk and volatility spillovers in oil and stock markets. Quarterly Review of Economics and Finance, 80, 358-366. doi:10.1016/j.qref.2021.03.008
Tang, C. H., Chin, C. Y., & Lee, Y. H. (2021). Coronavirus disease outbreak and supply chain disruption: Evidence from Taiwanese firms in China. Research in International Business and Finance, 56, 8. doi:10.1016/j.ribaf.2020.101355
Wang, J. C., Wang, Z. H., Wang, Y. Y., & Lai, F. J. (2017). Impacts of information reliability in a supply chain with market disruption risks. International Transactions in Operational Research, 24(4), 737-761. doi:10.1111/itor.12317
Wang, N. N., Fang, X., Gou, Q. L., & Liang, L. (2017). Supply chain performance under pull or push contracts in the presence of a market disruption. International Transactions in Operational Research, 24(4), 713-736. doi:10.1111/itor.12281
Wang, Y. B., Wang, J. J., & Wang, X. Y. (2020). COVID-19, supply chain disruption and China's hog market: a dynamic analysis. China Agricultural Economic Review, 12(3), 427-443. doi:10.1108/caer-04-2020-0053
