The impact of the economic content of newspapers on stock anomalies in Palestine exchange market

Abstract

This study investigates the impact of newspaper content on stock returns and trading volume in Palestinian financial market. The researcher used the textual analysis approach to analyze the content of economic pages in three local newspapers, Al-Hayaa, Al-Ayyam, and Felesteen. To measure the tone of newspaper economic content, the researcher constructed two lists of words that have an economical denote; the first is positive and contains 188 words (50 roots and 138 derivatives), the second is negative and contains 155 words (50 roots and 105 derivatives). Then he counted the number of occurrence for each word on a daily base to calculate the weight of each word and the score for each day. The study analyzed the content of 8,666 economic pages in the three newspapers form 1 January 2011 to 31 December 2014, the content along this period contains about 16,143,197 words, while the positive and negative words repeated 411,702 times in the texts during the same period. The researcher collected the data about stock returns and trading volume for all listed companies from Palestinian stock market website on a daily base. Using a multivariable regression samples, he studied the impact of the media tone on publishing day and 3 days later. The study found that, form 49 listed companies, only 15 companies have a significant relationship between media tone and trading volume during the publishing day with 3 lagging days. In addition, it found that only 10 companies have a significant relationship between media tone and stock returns during the publishing day with 3 lagging days. In the two cases, some companies responded to the media quickly, in the publishing day, and the response of some companies is slow, came after 3 days of publishing. Keywords: behavioral finance, textual analysis, media tone, PEX, anomalies, newspaper economic content, investor sentiment.