The effect of the sanctions news background tone on stock indices of digital and non-digital sectors

Subject. This article analyzes industry stock indexes and news publications about sanctions. Objectives. The article aims to assess the impact of the tone of news publications about sanctions in official and unofficial sources of information on the return of industry stock indexes, taking into account the different levels of industry digitalization (digital and non-digital industries). Methods. For the study, I used the FinBERT model, HSE Digitalization Index, and the GARCH model(1,1). Results. The article confirms the statistical significance of the effect of news about sanctions on stock indexes of various industries. The hypothesis of a stronger influence in digital industries was not confirmed. The article finds a more significant impact of the news from official media compared to the unofficial ones. Conclusions and Relevance. The impact of sanctions news on industry stock indexes is observed in most of the industries considered, and it does not depend on the level of digitalization of the industry. Information from the official sources is of priority importance for stock market participants in comparison with the unofficial sources. The findings of the study can be relevant and useful to investors, stock market participants, analysts, and portfolio managers when making strategic decisions, including whether to buy or sell assets on the stock market.