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Puzanova Yuliia (Swedbank AS, Estonia), Eratalay Mustafa Hakan (University of Tartu, Estonia)
Effect of Real Estate News Sentiments on the Stock Returns of Swedbank and SEB Bank
Econometric Research in Finance, 2021, vol. 6, nr 2, s. 77-117, rys., tab., wykr., bilbiogr. 80 poz.
Słowa kluczowe
Rynek nieruchomości, Stopa zwrotu akcji, Banki, Analiza systemowa
Real estate market, Stock rate of returns, Banks, Systemic analysis
JEL classification: C320, C520, C580
Kraje bałtyckie
Baltic countries
This paper explores the effect of real estate news sentiment on the stock returns of Swedbank and SEB Bank, which are leading banks in Sweden and the Baltic region. For this purpose, we have selected sentiments from news about real estate in the markets of these banks in Sweden, Estonia, Latvia, and Lithuania between 4 January 2016 and 19 February 2019. Estimation results showed that sentiments about the housing market affect stock returns for both banks, and the effect is different for positive and negative news. We also found that there is a difference in the stock returns of these banks in terms of when and to what extent they react to news coming from the Baltic States and Sweden. Moreover, we found that the number of negative news affects the stock returns of the banks more than the strength of the news. We also apply several GARCH specifications to explore if negative and positive news affect the volatility processes to some extent. We found out that the volatilities are explained better by the GJR-GARCH and NA-GARCH models. Overall, the volatility of SEB stock returns depends more on the news sentiments compared to the volatility of Swedbank stock returns.(original abstract)
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