Научный журнал ВолНЦ РАН (печатное издание)
01.11.202411.2024с 01.01.2024
Просмотры
Посетители
* - в среднем в день за текущий месяц
RuEn

рубрика "Общественные финансы"

Влияние политических новостей о России на цены акций российских компаний: сравнительный анализ иностранных и отечественных СМИ

Локтионова А.А., Лавриненко П.А., Мирзоян А.Г., Локтионова О.А.

Том 17, №5, 2024

Локтионова А.А., Лавриненко П.А., Мирзоян А.Г., Локтионова О.А. (2024). Влияние политических новостей о России на цены акций российских компаний: сравнительный анализ иностранных и отечественных СМИ // Экономические и социальные перемены: факты, тенденции, прогноз. Т. 17. № 5. С. 114–132. DOI: 10.15838/esc.2024.5.95.6

DOI: 10.15838/esc.2024.5.95.6

Аннотация   |   Авторы   |   Список литературы
  1. Федорова Е.А., Пыльцин И.В., Ковальчук Ю.А., Дроговоз П.А. (2022). Новости и социальные сети российских компаний: степень влияния на рынок ценных бумаг // Журнал Новой экономической ассоциации. № 1 (53). С. 32–52.
  2. Arun R., Suresh V., Madhavan C.E.V., Murty M.N. (2010). On finding the natural number of topics with Latent Dirichlet Allocation: Some observations. Lecture Notes in Computer Science (Including Subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 6118 LNAI (PART 1). DOI: https://doi.org/10.1007/978-3-642-13657-3_43
  3. Azam M., Khan M.A., Iqbal N. (2012). Impact of political risk and uncertainty on FDI in South Asia. Transition Studies Review, 19(1). DOI: https://doi.org/10.1007/s11300-012-0230-x
  4. Badshah I., Demirer R., Suleman M.T. (2019). The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging. Energy Economics, 84. DOI: https://doi.org/10.1016/j.eneco.2019.104553
  5. Baek S., Mohanty S.K., Glambosky M. (2020). COVID-19 and stock market volatility: An industry level analysis. Finance Research Letters, 37. DOI: https://doi.org/10.1016/j.frl.2020.101748
  6. Baker S.R., Bloom N., Davis S.J. (2016). Measuring economic policy uncertainty. Quarterly Journal of Economics, 131(4). DOI: https://doi.org/10.1093/qje/qjw024
  7. Barber B.M., Odean T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. Quarterly Journal of Economics, 116(1). DOI: https://doi.org/10.1162/003355301556400
  8. Barber B.M., Odean T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies, 21(2). DOI: https://doi.org/10.1093/rfs/hhm079
  9. Beaulieu M.C., Cosset J.C., Essaddam N. (2005). The impact of political risk on the volatility of stock returns: The case of Canada. In Journal of International Business Studies, 36(6). DOI: https://doi.org/10.1057/palgrave.jibs.8400160
  10. Brogaard J., Dai L., Ngo P.T.H., Zhang B. (2020). Global political uncertainty and asset prices. Review of Financial Studies,33(4). DOI: https://doi.org/10.1093/rfs/hhz087
  11. Cao J., Xia T., Li J., Zhang Y., Tang, S. (2009). A density-based method for adaptive LDA model selection. Neurocomputing, 72(7–9). DOI: https://doi.org/10.1016/j.neucom.2008.06.011
  12. Chan Y.C., Chui A.C.W., Kwok C.C.Y. (2001). The impact of salient political and economic news on the trading activity. Pacific Basin Finance Journal, 9(3). DOI: https://doi.org/10.1016/S0927-538X(01)00015-4
  13. Colasanto F., Grilli L., Santoro D., Villani G. (2022). BERT’s sentiment score for portfolio optimization: A fine-tuned view in Black and Litterman model. Neural Computing and Applications, 34(20). DOI: https://doi.org/10.1007/s00521-022-07403-1
  14. Demirer R., Yuksel A., Yuksel A. (2022). Time-varying risk aversion and currency excess returns. Research in International Business and Finance, 59. DOI: https://doi.org/10.1016/j.ribaf.2021.101555
  15. Deveaud R., SanJuan E., Bellot P. (2014). Accurate and effective Latent Concept Modeling for ad hoc information retrieval. Document Numerique, 17(1). DOI: https://doi.org/10.3166/dn.17.1.61-84
  16. Enikolopov R., Petrova M., Sonin K. (2018). Social media and corruption. American Economic Journal: Applied Economics, 1.
  17. Evans D.A. (2006). Subject perceptions of confidence and predictive validity in financial information cues. Journal of Behavioral Finance, 7(1). DOI: https://doi.org/10.1207/s15427579jpfm0701_3
  18. Fabozzi F.J., Gupta F., Markowitz H.M. (2002). The legacy of modern portfolio theory. The Journal of Investing, 11(3). DOI: https://doi.org/10.3905/joi.2002.319510
  19. Friederich S., Payne R. (2015). Order-to-trade ratios and market liquidity. Journal of Banking and Finance, 50. DOI: https://doi.org/10.1016/j.jbankfin.2014.10.005
  20. Goodell J.W., Huynh T.L.D. (2020). Did Congress trade ahead? Considering the reaction of US industries to COVID-19. Finance Research Letters, 36. DOI: https://doi.org/10.1016/j.frl.2020.101578
  21. Griffiths T.L., Steyvers M. (2004). Finding scientific topics. Proceedings of the National Academy of Sciences of the United States of America, 101(SUPPL. 1). DOI: https://doi.org/10.1073/pnas.0307752101
  22. Grinblatt M., Han B. (2002). The Disposition Effect and Momentum. Working Paper.
  23. Han Y., Li J. (2023). The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach. International Review of Financial Analysis, 86. DOI: https://doi.org/10.1016/j.irfa.2022.102476
  24. Hartwell C. A. (2022). Populism and financial markets. Finance Research Letters, 46. DOI: https://doi.org/10.1016/j.frl.2021.102479
  25. Khrustova L.E., Fedorova E.A., Fedorov F.Yu. (2020). Tonality of showing Russian position in English speaking mass media during sanction period. Outlines of Global Transformations: Politics, Economics, Law, 13(4). DOI: https://doi.org/10.23932/2542-0240-2020-13-4-14
  26. Kim J.H., Shamsuddin A., Lim K.P. (2011). Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. Journal of Empirical Finance, 18(5). DOI: https://doi.org/10.1016/j.jempfin.2011.08.002
  27. Korhonen I., Peresetsky A. (2013). What determines stock market behavior in Russia and other emerging countries? SSRN Electronic Journal. DOI: https://doi.org/10.2139/ssrn.2235072
  28. Kurov A. (2008). Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review, 43(1). DOI: https://doi.org/10.1111/j.1540-6288.2007.00188.x
  29. Lipsitch M., Finelli L., Heffernan R.T., Leung G.M., Redd S.C. (2011). Improving the evidence base for decision making during a pandemic: The example of 2009 influenza A/H1N1. Biosecurity and Bioterrorism, 9(2). DOI: https://doi.org/10.1089/bsp.2011.0007
  30. Lo A. (2004). The adaptive market hypothesis: Market efficiency from an evolutionary perspective. The Journal of Portfolio Management, 30(5).
  31. Merkle C., Weber M. (2014). Do investors put their money where their mouth is? Stock market expectations and investing behavior. Journal of Banking and Finance, 46(1). DOI: https://doi.org/10.1016/j.jbankfin.2014.03.042
  32. Ngoc L.T.B. (2013). Behavior pattern of individual investors in stock market. International Journal of Business and Management, 9(1). DOI: https://doi.org/10.5539/ijbm.v9n1p1
  33. Odean T. (1998). Volume, volatility, price, and profit when all traders are above average. Journal of Finance, 53(6). DOI: https://doi.org/10.1111/0022-1082.00078
  34. Odean T. (1999). Do investors trade too much? American Economic Review, 89(5). DOI: https://doi.org/10.1257/aer.89.5.1279
  35. Pástor Ľ., Veronesi, P. (2012). Uncertainty about government policy and stock prices. Journal of Finance, 67(4). DOI: https://doi.org/10.1111/j.1540-6261.2012.01746.x
  36. Pástor Ľ., Veronesi P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3). DOI: https://doi.org/10.1016/j.jfineco.2013.08.007
  37. Robinson C.J., Bangwayo-Skeete P. (2017). Parliamentary elections and frontier stock markets: Evidence from stock market reaction to general elections in the Commonwealth Caribbean. Global Business Review, 18(5). DOI: https://doi.org/10.1177/0972150917710136
  38. Santa-Clara P., Valkanov R. (2003). The presidential puzzle: Political cycles and the stock market. Journal of Finance, 58(5). DOI: https://doi.org/10.1111/1540-6261.00590
  39. Sari R., Kusnanto K., Aswindo M. (2022). Determinants of stock investment decision making: A study on investors in Indonesia. Golden Ratio of Finance Management, 2(2). DOI: https://doi.org/10.52970/grfm.v2i2.174
  40. Shiller R.J. (2000). Measuring bubble expectations and investor confidence. Journal of Psychology and Financial Markets, 1(1). DOI: https://doi.org/10.1207/s15327760jpfm0101_05
  41. Snowberg E., Wolfers J., Zitzewitz E. (2007). Partisan impacts on the economy: Evidence from prediction markets and close elections. Quarterly Journal of Economics, 122(2). DOI: https://doi.org/10.1162/qjec.122.2.807
  42. Tsygankov A.P. (2017). The dark double: The American media perception of Russia as a neo-soviet autocracy, 2008–2014. Politics, 37(1). DOI: https://doi.org/10.1177/0263395715626945
  43. Wahyono H., Narmaditya B.S., Wibowo A., Kustiandi J. (2021). Irrationality and economic morality of SMEs’ behavior during the Covid-19 pandemic: Lesson from Indonesia. Heliyon, 7(7). DOI: https://doi.org/10.1016/j.heliyon.2021.e07400
  44. Waweru N.M., Munyoki E., Uliana E. (2008). The effects of behavioural factors in investment decision-making: A survey of institutional investors operating at the Nairobi Stock Exchange. International Journal of Business and Emerging Markets, 1(1). DOI: https://doi.org/10.1504/ijbem.2008.019243
  45. Wuthrich B., Cho V., Leung S. et al. (1998). Daily stock market forecast from textual Web data. Proceedings of the IEEE International Conference on Systems, Man and Cybernetics, 3. DOI: https://doi.org/10.1109/icsmc.1998.725072

Полная версия статьи