Building sanction indices and their impact on the stock market: Official and unofficial news

Subject. This article considers sanction and stock indices. Objectives. The article aims to assess the impact of news about sanctions from formal and informal sources on the domestic stock market at various lags: on the news publication day, a day later, and a week later. Methods. For the study, we used the text data mining technique and the Granger causality test. Results. The article presents the results of the assessment of the impact of news about sanctions from formal and informal sources on the domestic stock market over various time lags. It finds that only official sources of information affect the stock market for up to seven days, and unofficial sources begin to influence only on the second day of discussing the news about sanctions, however, with a lag of seven days, their influence drops to zero. Relevance. The results of the study may prove useful for a wide range of professionals involved in capital management, market analysis, and strategic decision-making.