Analysing the impact of ECB Communication on Financial Markets: A Text Mining approach

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dc.contributor.advisor Cervellati, Enrico Maria it_IT Venturini, Alessio <1996> it_IT 2020-07-15 it_IT 2020-09-24T12:05:17Z 2020-09-24T12:05:17Z 2020-07-27 it_IT
dc.description.abstract This thesis investigates how European Central Bank (ECB) communication made during the press conferences affects asset pricing and herding behaviour in the European financial market. My approach to analysing the ECB statement is through the lens of textual analysis. Specifically, the text in ECB press conferences is extracted by means of a Web Scraping procedure that divides ECB’s President transcript from the Q&A section. Then, Sentiment analysis is applied to both these two types of text corpus and used to construct a sentiment time series using different field-specific dictionaries, that span from the Monetary Policy to Financial Stability lexicon. I also created my own dictionary merging different lexicons found from previous studies. These time series are then used as explanatory variables to compare to the Euro Stoxx 50 time series. Evidence suggests that my sentiment time series reached the highest explanatory power in predicting Euro Stoxx 50 market realizations. Additionally, to assess the evidence of whether herding behaviour of investors occurs around positive and negative spikes of the sentiment time series, I applied the Belgacem and Lahiani (2013) methodology to different European sectors. I found that those spikes do help in detecting herding behaviour in the European financial markets. it_IT
dc.language.iso en it_IT
dc.publisher Università Ca' Foscari Venezia it_IT
dc.rights © Alessio Venturini, 2020 it_IT
dc.title Analysing the impact of ECB Communication on Financial Markets: A Text Mining approach it_IT
dc.title.alternative Analysing the impact of E.C.B. Communication on Financial Markets: A Text Mining approach it_IT
dc.type Master's Degree Thesis it_IT Economia e finanza it_IT Laurea magistrale it_IT Dipartimento di Economia it_IT
dc.description.academicyear 2019/2020 - Sessione Estiva it_IT
dc.rights.accessrights openAccess it_IT
dc.thesis.matricno 877631 it_IT
dc.subject.miur SECS-P/06 ECONOMIA APPLICATA it_IT
dc.description.note it_IT it_IT it_IT it_IT
dc.provenance.upload Alessio Venturini (, 2020-07-15 it_IT
dc.provenance.plagiarycheck Enrico Maria Cervellati (, 2020-07-27 it_IT

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