00000ctm a22000004i 4500 UP-99796217613057661 Buklod 20190717122129.0 aa r ||| u ta 190717s2018 xx d r |||| u| (iLib)UPD-00409864622 DECON rda eng DMLUC LG 993.5 2018 E2 B46 Benitez, Eryel Nicole S. author. Translating words into numbers measuring media sentiment and its effect on the Philippine Stock Exchange Eryel Nicole S. Benitez and Shereena S. Salas ; Renato E. Reside Jr., adviser. Quezon City School of Economics, University of the Philippines Diliman 2018. x, 72 leaves 28 cm. text rdacontent unmediated rdamedia volume rdacarrier Thesis (B.S. Business Economics) -- University of the Philippines Diliman December 2018. In today_s online world, news can be easily disseminated within an instant making them readily available to investors. These news reports can easily influence investors and affect the stock market price and volume. This paper examines whether media sentiment, which is a proxy to investor sentiment, influences the different sectors of the Philippine Stock Exchange using vector autoregression model. We have constructed a Philippine news article archive from 2013 to 2017, and the analyzed it through R using the Loughran McDonald dictionary _ creating the Philippine media sentiment index. Vector Autoregression was used to test the relationship of stock returns, trade volume, and media sentiment to one another. We use the maximum lag of 5, a week worth of trading days, for each equation. The trade volume of Financial sector and Industrial sector and the daily returns of the Mining and Oil sector are more sensitive to sentiment than the other sectors. Philippine Stock Exchange. Press Economic aspects Philippines. Stocks Philippines. Salas, Shereena S. joint author. Reside, Renato Jr. E. thesis adviser. FI UP UPD DECON LG 993.5 2018 E2 B46 Thesis