Vu, L.T.; Pham, D.N.; Kieu, H.T.; Pham, T.T.T. Sentiments Extracted from News and Stock Market Reactions in Vietnam. Int. J. Financial Stud.2023, 11, 101.
Vu, L.T.; Pham, D.N.; Kieu, H.T.; Pham, T.T.T. Sentiments Extracted from News and Stock Market Reactions in Vietnam. Int. J. Financial Stud. 2023, 11, 101.
Vu, L.T.; Pham, D.N.; Kieu, H.T.; Pham, T.T.T. Sentiments Extracted from News and Stock Market Reactions in Vietnam. Int. J. Financial Stud.2023, 11, 101.
Vu, L.T.; Pham, D.N.; Kieu, H.T.; Pham, T.T.T. Sentiments Extracted from News and Stock Market Reactions in Vietnam. Int. J. Financial Stud. 2023, 11, 101.
Abstract
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 the news sentiment and classify news according to its sentiments with the application of PhoBERT, a Natural Language Processing model designed for the Vietnamese language. A collection of nearly 40,000 articles on financial and economic websites is used to train the model. After training, the model succeeds in assigning news to different classes of sentiments with an accuracy level of over 81%. The research also aims to investigate how investors concern about the daily news by testing the movements of the market before and after the news is released. The analysis results show that there is an insignificant difference in the stock price as a response to the news. However, investors tend to overreact to negative and positive news in the Vietnam stock market.
Keywords
behavioral finance; natural language processing; overreact; PhoBERT; textual analysis; underreact
Subject
Business, Economics and Management, Finance
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
