Using NSIA Framework to Evaluate Impact of Sentiment Datasets on Intraday Financial Market Measures: A Case Study

  • Islam Al QudahEmail author
  • Fethi A. Rabhi
Conference paper
Part of the Lecture Notes in Business Information Processing book series (LNBIP, volume 345)


Current studies on financial markets reaction to news show lack of flexibility for conducting news sentiment datasets evaluations. In other words, there is an absence of clear step-by-step guidance for conducting impact analysis studies in various financial contexts. This paper evaluates the proposed News Sentiment Impact Analysis (NSIA) framework using a highly sensitive financial market measure called the intraday mean cumulative average abnormal returns. The results demonstrate the ability of the framework to evaluate news sentiment impact on high frequency financial data (minutes intervals), while defining clear steps to conduct a systematic evaluation.



We are grateful to Sirca [43] and Thomson Reuters [33] for providing access to the data used in this research.


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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.School of Computer Science and EngineeringUniversity of New South WalesSydneyAustralia

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