Using NSIA Framework to Evaluate Impact of Sentiment Datasets on Intraday Financial Market Measures: A Case Study

Abstract

Current studies on financial markets reaction to news show lack of flexibility for conducting news sentiment datasets evaluations. In other words, there is an absence of clear step-by-step guidance for conducting impact analysis studies in various financial contexts. This paper evaluates the proposed News Sentiment Impact Analysis (NSIA) framework using a highly sensitive financial market measure called the intraday mean cumulative average abnormal returns. The results demonstrate the ability of the framework to evaluate news sentiment impact on high frequency financial data (minutes intervals), while defining clear steps to conduct a systematic evaluation.