engleski

ZAGREB STOCK EXCHANGE AND THE (A)SYMMETRIC EFFECTS OF NEWS

This paper is a pioneer empirical attempt to discern the interrelationship between news and stock market developments in Croatia. Using Structured Query Language (SQL) manipulations, the authors extract a database of news articles from some of the most popular Croatian news portals (Jutarnji list, Večernji list, Poslovni dnevnik, 24 sata, Index.hr, and Dnevnik.hr). Corroborating the loss aversion hypothesis, it is found that negative news Granger-cause both CROBEX returns and market turnover, while the influence of positive news is not so important.

CROBEX, stock market, news media, loss aversion, prospect theory, negativity bias

Proceeding of the 14th International Symposium on Operational Research in Slovenia (SOR'17) is cited in: ISI (Index to Scientific & Technical Proceedings on CD-ROM and ISI/ISTP&Bonline database), Current Mathematical Publications, Mathematical Review, MathSci, Zentralblatt fur Mathematic/Mathematics Abstracts, MATH on STN International, CompactMath, INSPEC, Journal of Economic Literature