Harnessing Investor Sentiment Using Big Data Analytics

Mark Johnman, Adrian Gepp, Bruce J Vanstone

Research output: Contribution to journalArticleResearchpeer-review


This study examines the statistical and economic significance of investor sentiment, based on general business news, on stock market returns and volatility. Using big data analytics, our findings reveal that sentiment does not affect market returns. However, sentiment does influence volatility, with negative (positive) sentiment increasing (decreasing) volatility. Investor sentiment is also economically significant; we demonstrate that an ETF-based trading strategy can be used to capitalize on the predictive capability of investor sentiment. This paper summarizes the research findings made by Johnman, Vanstone and Gepp (2018) from a more practical perspective.

Published in The Australasian Journal of Applied Finance, formerly known as JASSA.
Original languageEnglish
JournalJournal of the Australian Society of Security Analysts
Issue number3
Publication statusPublished - 2019


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