Big Data Financial Sentiment Analysis in the European Bond Markets

摘要

We exploit the novel Global Database of Events, Language and Tone (GDELT) to construct news-based financial sentiment measures capturing investor's opinions for three European countries, Italy, Spain and France. We study whether deterioration in investor's sentiment implies a rise in interest rates with respect to their German counterparts. Finally, we look at the link between agents' sentiment and their portfolio exposure on the Italian, French and Spanish markets.