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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | News Sentiment and Stock Returns in Frontier Markets - Evidence from Vietnam |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 68 |
Date | 2019 |
Abstract Text | This thesis analyzes the relationship between news sentiment data, and Vietnamese stock returns to examines the predictive power of news sentiment for the implementation of a profitable trading strategy. The novelty of this study is the application of the comprehensive and state-of-the-art news sentiment data in conjunction with a practical trading strategy adapted for the less-developed nation of Vietnam. Due to the intricacies of textual language processing, leading to data availability and quality concerns, as well as other characteristics of less-developed nations, frontier and emerging markets have remained largely neglected by the academic community thus far. The results of this thesis show that news sentiment data are indeed capable of predicting stocks from frontier markets, thus allowing for profitable trading strategies. |
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