Pulk, Kristjan, juhendajaEratalay, Mustafa Hakan, juhendajaLass, KristinTartu Ülikool. MajandusteaduskondTartu Ülikool. Sotsiaalteaduste valdkond2025-07-032025-07-032025https://hdl.handle.net/10062/111967This article examines the relationship between media sentiment and stock price movements using the example of 12 companies listed on the Tallinn Stock Exchange. The study uses sentiment analyzes of Estonian-language financial news using the ARMAX model to quantify the impact of news sentiment on daily stock returns. The dataset comprises 1,930 news articles and trading data from 2019 to 2023. The results show that media sentiment has a statistically significant impact on short-term stock price movements, especially in the case of strongly negative news. This supports the view that market movements cannot be explained solely by fundamental analysis, but also indicate behavioral factors, such as attentional bias and overreaction, that affect stock price formation. The results contribute to media-based market analysis in small markets and highlights the need for considering the influence of media sentiment in financial modeling.enAttribution-NonCommercial-NoDerivs 3.0 Estoniahttp://creativecommons.org/licenses/by-nc-nd/3.0/ee/magistritöödvõrguväljaandedmaster's thesesfinantspsühholoogiamajandusteadusTallinna börsväärtpaberibörsprognoosmudelidmeedia mõjuuudisedaktsiakursidprognostikabehavioral financesentiment analysisTallinn Stock ExchangeARMA modelmedia influencestock price predictionThesis