The British Stock Market, Currencies, Brexit, and Media Sentiments : A Big Data Analysis

In this study, we use a machine learning framework and draw on an extensive body of media articles on Brexit to provide evidence of co-integration and causality between the sentiments of the media and the movement of British currency. Our contribution to the literature is novel: in addition to applying lexicons commonly used in sentiment analysis, we devise a method using Bayesian learning to create a more context-aware and informative lexicon for Brexit. By leveraging and extending this method, we reveal the relationship between original media sentiment and related economic and financial variables. Our method is a distinct improvement over the existing ones and can predict out of sample outcomes better than conventional ones