2021 Honors Thesis: James Traynelis

Name:

James Traynelis

Title of Thesis:

Filtered News Sentiments and U.S. Equities during the COVID-19 Pandemic

Committee:

Mi Luo, Paloma Moyano, Jeff Rosensweig (Goizueta Business School)

Abstract:

Narratives play a determinate role in financial markets. Financial news data can be used as a surrogate to quantify the spread and adoption of economic narratives. This paper looks at two narratives during the COVID-19 pandemic: one of extreme monetary and fiscal stimulus and another of a vaccine. Financial data from four U.S. stock indices (NASDAQ, SPX, RUT, NBI) was regressed on VADER sentiment ratings from New York Times and Guardian headlines. Vaccine news sentiment tracked strongly with the NASDAQ Biotech Index and Russell 2000. Stimulus news sentiment, however, did not exhibit any explanatory power at the significance levels tested.