The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 news, elaborated with the "Natural Language Toolkit" that uses machine...

We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We...

In this paper, we study how China's stock market reacts to the sudden outbreak of COVID-19 in 2020, particularly to the announcement of the pandemic lockdown. In general, we observe reversals both at the industry level and at the firm level due to investors' overreactions to the pandemic...

Using the WHO announcement on March 11, 2020 and the Federal Reserve Bank announcement on April 9, 2020 as two events that represent the shock and the stimulus, this study finds that COVID-19 caused a negative shock to the global stock markets, especially in emerging markets and for small firms....

News on the stock market contains positive or negative sentiments depending on whether the information provided is favorable or unfavorable to the stock market. This study aims to discover news sentiments and classify news according to its sentiments with the application of PhoBERT, a Natural...

This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...

This paper examines the reaction of investors to the arrival of unexpected information on the Istanbul Stock Exchange. The empirical results suggest that the investor reaction following unexpected news on the ISE100 is consistent with Overreaction Hypothesis especially after unfavorable market...

This paper examines the reaction of investors to the arrival of unexpected information in the Chinese equity market. Market surprises are identified using a strictly quantitative approach, and cumulative abnormal returns are calculated and tracked for a period of 30 days after each favorable or...