Proxy indicators for measuring the impact of negative news on the stock market: a literature review
DOI:
https://doi.org/10.29105/vtga11.5-1255Keywords:
news, stock price, social networksAbstract
In an effort to predict the impact of negative news on stock prices and stock market index movements, various authors have explored the most effective proxies to better anticipate future outcomes. Classifying news that influences the stock market is a fundamental aspect of financial research. This study aims to present a literature review of existing knowledge on the methodological approaches and proxies used to assess the effects of negative news on financial markets. A literature review methodology was employed to compare the variables used in previous studies and to evaluate their respective strengths and limitations. The review covers multiple dimensions of negative news, identifying four key categories: earnings surprises, ESG score changes, media attention, and social media sentiment. The choice of proxy depends on the research question, data availability, and the methodological framework applied.
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