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- W3090291498 abstract "Traditional empirical models analyze impact of sentiments on financial market volatility using macroeconomic fundamentals or financial indicators. In this paper, recent methods of text based sentiment analysis of market from relevant news articles regarding economy and financial market are used. Two distinct market sentiments namely, positive and negative sentiments are constructed using different emotions which are identified through standard natural language processing methods. Further, the paper aims at proposing an augmented version of asymmetric GARCH model of conditional volatility for Indian stock exchange, Sensex, during the time period of April 19, 2007 to January 10, 2020 by incorporating aforementioned market sentiments. Empirical findings suggest dominant impact of negative market sentiment over positive one and it also provides evidence of noise trading in financially immature Indian stock market." @default.
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- W3090291498 date "2020-01-01" @default.
- W3090291498 modified "2023-10-11" @default.
- W3090291498 title "Sentiment Analysis of Indian Stock Market Volatility" @default.
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- W3090291498 doi "https://doi.org/10.1016/j.procs.2020.08.035" @default.
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