Date of Publication

9-2025

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Applied Economics major in Financial Economics

Subject Categories

Economics

College

School of Economics

Department/Unit

Economics

Thesis Advisor

Madeleine B. Estabillo

Stephanie L. Chan

Defense Panel Chair

Madeleine B. Estabillo

Defense Panel Member

Stephanie L. Chan

Abstract (English)

Bank stability is a crucial component of economic and financial security, with studies suggesting that it remains sensitive to shifts in public sentiment (Cubillas et al., 2021; Fang et al., 2024; Correa et al., 2021). In the modern era, the rapid dissemination of information through digital means has intensified concerns about the influence of digital narratives on financial market confidence. Thus, this study examines the impact of news sentiment on the bank stability of the three central Philippine banks: Banco de Oro (BDO), Bank of the Philippine Islands (BPI), and Metropolitan Bank (Metrobank). Using a bilingual (English and Filipino) dataset, we analyzed Facebook news posts and user comments tied to major bank-specific events. Sentiments were scored via a tailored natural language processing (NLP) lexicon and tested against four financial stability indicators: (1) Log Returns, (2) Conditional Volatility (ARMA-GARCH), (3) Value-at-Risk, and (4) Expected Shortfall via multivariate regressions at both daily and intraday (5-minute and 30-minute) levels. Daily models revealed that sentiment significantly influenced BDO and BPI’s returns and tail risk measures, while Metrobank remained insensitive. Intraday models, especially at 5-minute intervals, showed weaker or insignificant sentiment effects, likely due to rapid sentiment decay or market noise. PSEi market returns consistently served as a strong control across all models. Among the three, BPI exhibited the most pronounced sensitivity to sentiment under stress conditions. These findings support behavioural theories such as Herding and Narrative Economics, suggesting that digital narratives and public attention can shape financial market outcomes. The study contributes empirical insight on the influence of sentiment on baking stability, particularly in emerging market contexts.

Abstract Format

html

Abstract (Filipino)

.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Financial crises; Mass media—Economic aspects

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Embargo Period

8-20-2025

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