Audrino, F., & Tetereva, A. (2019). Sentiment spillover effects for US and European companies

The fast-growing literature on news analytics provides evidence that financial markets are partially driven by sentiments. In contrast with previous studies that have almost exclusively focused on the direct effects of the news related to single companies or sectors, we investigate the time-varying dynamics of news’ cross-industry influences for a set of US and European stocks over a period of 10 years. The graphical Granger causality of the news sentiments-excess return networks is estimated by applying the adaptive lasso. We find significant spillover effects and show the importance of sentiments related to certain sectors for the whole cross-section of stocks.