Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/340555 
Year of Publication: 
2025
Citation: 
[Journal:] Borsa İstanbul Review [ISSN:] 2214-8469 [Volume:] 25 [Issue:] 1 [Year:] 2025 [Pages:] 79-93
Publisher: 
Elsevier, Amsterdam
Abstract: 
This paper investigates the responsiveness of US equity sectors to the sentiments conveyed by the speeches of the governors of the US Federal Reserve (the Fed). Using principal component analysis of the scores of four Lexicon dictionaries to analyze speeches from June 1, 1996, to September 30, 2023, we find convincing evidence of a significant reaction to the sentiment index by the consumer discretionary, financial, information technology, raw materials, real estate, and utilities sectors. This reaction is asymmetric, as negative sentiments affect the US sectors more quickly than positive sentiments. Among the sectors, communication services, industrial, consumer staples, and energy sectors only respond significantly to negative sentiments. Furthermore, speeches by the Fed chairman have a greater effect, as shown by the significant reaction of eight sectors, followed by speeches by the vice chairman affecting five and speeches by the governor influencing only three. These results showing the market's asymmetrical response in terms of the types and sources of sentiment have valuable implications for a broad group of market participants.
Subjects: 
Central bank communication
Cumulative abnormal returns
Federal reserve
Governor speeches
Sentiment index
US equity sectors
JEL: 
G11
G14
G18
G28
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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