The Impact of News on the MICEX Oil & Gas Index: Textual Analysis
https://doi.org/10.38050/01300105201845
Abstract
In this study, a relationship between the mood of news and the response of the oil and gas industry index of the Russian Federation was revealed. The empirical base of the study included 8.5 million news from foreign sources. Research methodology: fuzzy sets, naive Bayesian classifier, Pearson correlation coefficient. As a result of the research, it was discovered that: 1) negative news affects the stronger than the positive on the stock index; 2) news on companies affect the value of the index, and news on the industry affect the volume of trading; 3) the sanctions did not significantly affect the coverage of Russian oil and gas companies.
About the Authors
E. A. Fedorova
Financial University under the government of the Russian Federation; National Research University "Higher school of Economics"
Russian Federation
Russian Federation
O. Yu. Rogov
Financial University under the Government of the Russian Federation
Russian Federation
Russian Federation
V. A. Klyuchnikov
National Research University "Higher school of Economics"
Russian Federation
Russian Federation
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Review
For citations:
Fedorova E.A., Rogov O.Yu., Klyuchnikov V.A. The Impact of News on the MICEX Oil & Gas Index: Textual Analysis. Moscow University Economics Bulletin. 2018;(4):79-99. (In Russ.) https://doi.org/10.38050/01300105201845
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