• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing:  ProQuest, Crossref, Electronic Journals Library , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2017 Vol.8(6): 251-257 ISSN: 2010-023X
DOI: 10.18178/ijtef.2017.8.6.574

News Sentiment and Its Effect on Price Momentum and Sentiment Momentum

Shu-Ling Chang, Long-Jainn Hwang, Chun-An Li, and Min-Zhi Yao
Abstract—The research indicates that Taiwan stock market in short-term would contain price momentum and sentiment momentum during 2001-2010. As for the long term, it would contain price contrarian effect. Furthermore, through the combination of good, bad news, price momentum, and sentiment momentum, it shows that short days accumulation of news have great effects on the short-term price momentum and the effects are more significant or reversed. However, the long-term price contrarian momentum shows negative correlation. It is extent of fluctuation would change with the collocation of good, bad news. In contrast, short-term sentiment momentum shows positive correlation and the result shows positive effect. Long-term sentiment momentum will also be influenced by the accumulation of news. The analysis of the result shows that it would be significant. And these positive and negative significances need to follow with different combination of investment portfolios.

Index Terms—Price momentum, sentiment momentum, news.

Long-Jainn Hwang is with Department of Marketing and Distribution Management, WuFeng University, Taiwan (e-mail: ljhwang@wfu.edu.tw).
Chun-An Li and Min-Zhi Yao are with Department of Finance, National Yunlin University of Science and Technology, Taiwan (e-mail: liica@yuntech.edu.tw, g9924724@yuntech.edu.tw).

[PDF]

Cite: Shu-Ling Chang, Long-Jainn Hwang, Chun-An Li, and Min-Zhi Yao, "News Sentiment and Its Effect on Price Momentum and Sentiment Momentum," International Journal of Trade, Economics and Finance vol.8, no.6, pp. 251-257, 2017.

Copyright © 2008-2015. International Journal of Trade, Economics and Finance. All rights reserved.
E-mail: ijtef@ejournal.net