98 Quantifying news: Alternative metrics
Table 3.5.t-statistics for the significance of each Thomson Reuters NewsScope Event Index with
respect to the returns of 11 equity indices
ASIA 1.3 2.2 0.1 0.3 0.20.50.30.9 0.61.9 0.2
Agricultural topics 1.6 1.2 0.8 0.7 0.7 0.9 0.5 2.2 1.2 1.9 0.1
Banking keywords 1.0 0.00.3 1.60.4 0.2 0.30.6 0.60.90.1
Bearish keywords 7.0 4.9 6.6 5.0 — 4.0 1.4 7.7 2.00.7 0.2
Bonds topics 1.3 2.7 3.4 0.7 2.9 3.2 1.3 0.5 1.81.1 0.2
Bullish keywords 4.8 3.66.6 3.15.25.20.33.0 0.54.40.1
Central bank keywords 1.6 1.1 1.7 4.4 — 2.4 1.0 1.3 1.1 1.20.3
Central bank topics 1.9 0.7 0.8 0.6 1.1 0.70.72.5 1.12.1 0.5
Corporate keywords 0.6 0.9 0.6 0.3 0.5 0.1 0.70.8 0.01.10.1
Credit topics 0.9 0.70.7 1.70.30.30.11.3 0.80.20.1
EUROPE — 0.1 0.2 1.0 0.20.7 0.3 — — — 0.0
Economic topics 3.5 0.5 0.2 1.0 0.5 0.1 0.62.2 0.82.3 0.2
Emerging markets topics 1.4 0.4 0.02.00.7 0.8 1.1 1.4 1.5 2.0 0.1
Emotional keywords 1.1 0.71.0 1.20.7 0.2 0.50.9 0.70.90.2
Energy topics 0.7 0.4 1.3 1.4 — 2.00.7 0.9 1.6 0.2 0.2
Finance keywords 2.4 0.60.5 0.60.31.30.11.3 1.72.2 0.2
Foreign exchange keywords 2.5 0.0 0.60.6 0.0 0.80.3 2.4 0.2 2.5 0.3
Foreign exchange topics 0.0 2.71.8 1.21.61.80.9 0.3 1.01.3 0.1
GB 2.0 0.1 0.3 2.40.4 0.40.22.7 1.11.50.3
JP 0.5 0.20.9 2.30.7 0.40.5 0.5 1.2 0.8 0.2
Livestock topics 0.5 0.30.8 1.80.51.1 0.41.1 6.80.80.1
MX 0.5 0.1 0.00.3 0.70.7 0.30.8 0.00.1 0.1
Macroeconomic keywords 0.1 0.6 0.3 0.5 0.4 0.4 0.61.0 0.1 0.30.2
Macroeconomic topics 2.9 0.3 0.1 — — 0.2 0.53.6 1.22.6 0.2
Major news topics 0.7 1.61.0 0.40.60.3 0.31.9 1.10.8 0.2
Markets topics 1.4 0.4 0.5 2.4 1.40.61.8 0.3 1.4 0.7 0.2
Mergers keywords 2.2 0.70.2 — — 0.7 0.1 0.0 0.51.7 0.2
Metal topics 1.0 0.0 0.1 0.3 —0.11.60.4 1.61.30.4
Militarykeywords 0.1 0.7 0.0 — —0.70.10.7 0.9 0.2 0.0
Natural disaster keywords 0.3 2.2 0.71.7 0.7 2.0 0.30.8 1.20.20.1
Natural disaster topics 1.3 1.3 1.9 0.1 1.6 2.0 0.11.3 1.51.00.2
Oil topics 1.1 1.3 0.9 0.7 1.5 0.30.1 1.3 0.9 0.70.1
Political keywords 0.3 1.01.8 0.61.21.50.7 0.3 1.1 0.80.1
Political topics 0.2 0.20.7 1.00.9 0.3 0.00.1 0.90.1 0.0
Precious metal topics 1.4 0.5 0.6 1.8 1.2 .21.4 0.8 1.4 1.40.4
RCH 2.4 0.8 2.8 — — 1.30.1 1.2 0.80.4 0.1
Rates topics 2.9 1.6 2.1 1.8 2.5 2.5 0.21.3 1.50.3 0.2
Regulation topics 0.2 0.0 0.12.60.3 0.21.21.0 0.10.90.3
Stockstopics 0.8 1.14.0 3.03.52.5 0.70.1 0.7 1.20.1
Terrorism keywords 0.1 0.5 1.3 2.0 1.2 1.0 0.7 0.6 1.90.1 0.4
Terrorism topics 0.1 1.3 2.60.1 2.4 1.6 0.10.5 0.20.1 0.2
US 1.8 0.40.1 —0.4 1.1 0.4 0.8 2.01.3 0.4
Urgent news topics 0.8 0.6 1.5 0.1 1.9 0.50.7 0.0 0.90.4 0.1
VIO 0.7 0.2 0.42.70.1 0.3 0.11.2 0.40.8 0.1
Violence keywords 1.9 0.40.9 2.00.30.9 1.31.4 0.41.2 0.0
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