British Stock Market, Brexit and Media Sentiments - A Big Data Analysis

51 Pages Posted: 7 Aug 2019

See all articles by Gopal K. Basak

Gopal K. Basak

Indian Statistical Institute, Kolkata - Statistics and Mathematics Unit

Pranab Kumar Das

Centre for Studies in Social Sciences, Calcutta

Sugata Marjit

Centre for Studies in Social Sciences, Calcutta; Indian Institute of Foreign Trade; City University of Hong Kong (CityU) - Department of Economics & Finance

Debashis Mukherjee

Centre for Studies in Social Sciences, Calcutta - Centre for Training and Research in Public Finance and Policy

Date Written: 2019

Abstract

In this paper we show, using a Machine Learning Framework and utilising a substantial corpus of media articles on Brexit, confirmed evidence of co-integration and causality between the ensuing media sentiments and British currency. The novel contribution of this paper is that along with sentiment analysis using commonly used lexicons, we devised a method using Bayesian learning to create a more context aware and more informative lexicon for Brexit. Moreover, leveraging and extending this we can unearth hidden relationship between originating media sentiments and related economic and financial variables. Our method is a distinct improvement over the existing ones and can predict out of sample outcomes better than conventional ones.

Keywords: digitization, machine learning

Suggested Citation

Basak, Gopal K. and Das, Pranab Kumar and Marjit, Sugata and Marjit, Sugata and Mukherjee, Debashis, British Stock Market, Brexit and Media Sentiments - A Big Data Analysis (2019). CESifo Working Paper No. 7760, Available at SSRN: https://ssrn.com/abstract=3432808 or http://dx.doi.org/10.2139/ssrn.3432808

Gopal K. Basak (Contact Author)

Indian Statistical Institute, Kolkata - Statistics and Mathematics Unit

India

Pranab Kumar Das

Centre for Studies in Social Sciences, Calcutta

R 1, B.P. Township
Kolkata, West Bengal, India
Kolkata, West Bengal 700094
India

Sugata Marjit

Centre for Studies in Social Sciences, Calcutta ( email )

R 1, B.P. Township
Kolkata, West Bengal, India
Kolkata, West Bengal 700094
India

Indian Institute of Foreign Trade ( email )

New Delhi
QUTUB INSTITUTIONAL AREA
NEW DELHI, 110016
India

City University of Hong Kong (CityU) - Department of Economics & Finance ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong

Debashis Mukherjee

Centre for Studies in Social Sciences, Calcutta - Centre for Training and Research in Public Finance and Policy ( email )

Calcutta
India

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