The S&P 500 sectoral indices responses to economic news sentiment
研究了2011年11月至2021年11月间经济新闻情绪与美国股市行业指数及整体指数的动态关系，发现情绪对行业回报的因果效应随时间变化，且不同时间尺度下关系不同。
Abstract This study explores the dynamic relationship between economic news sentiment and the US stock market using a non‐linear empirical framework. The analysis focuses on both sectoral indices and the aggregate stock market index from November 2011 to November 2021. Using causality tests and a rolling window detrended cross‐correlation coefficient, the study reveals several key findings. First, the causal effect of investor sentiment on sectoral returns varies over time, with each sector responding differently. Second, while no evidence of dependence exists for time scales less than 2 months, a positive relationship emerges for time scales greater than 6 months, except for the utilities sector, which is found to be negative. Third, the study shows that the relationships between all pairs of variables are time‐dependent. Finally, economic news sentiment might have a varying impact on market inefficiency over different periods, making it challenging to predict market behaviour based on sentiment data.