Financial news sentiment can influence stock returns and market volatility across Indonesia, Malaysia, and Singapore. An analysis of financial news from 2015 to 2024 using Natural Language Processing (NLP) and econometric models suggests that negative sentiment is associated with a stronger increase in market volatility than the reduction associated with positive sentiment. Indonesia appears particularly sensitive, with a one-standard-deviation decline in sentiment corresponding to an approximately 10.3% increase in conditional volatility. These findings underscore the potential value of institutional maturity, financial literacy, and digital risk monitoring in supporting market stability and strengthening regulatory oversight across emerging ASEAN economies.
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