Can Sentiment from News Headlines Explain Stock Market Returns?: Evidence from Thailand
Abstract
The objective of this study was to investigate whether sentiment from financial market headline news explains equity returns. Techniques from computational linguistics were employed to extract the news-based sentiment from a corpus of financial market headlines collected from a newsfeed of a financial newswire. In this study, news sentiment was classified as the overall sentiment and included both the positive and the negative sentiment. Using daily financial market data from 2017-2019, the overall sentiment and the positive sentiment were found to explain the equity returns of the Stock Exchange of Thailand (SET) while the negative sentiment did not explain the returns.
Fields of Study & Subjects
Stock Market Forecasting Methods
Sentiment Analysis and Opinion Mining
Forecasting Techniques and Applications
Publication details
- Journal / source
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Volume
- 24
- Issue
- 1
- Pages
- 317–333
- Publication date
- 1 January 2026
- Language
- EN
- Document type
- Preprint