テクニカルレポート Amount of news before stock market fluctuations

Tahira, Yoshifumi  ,  Mizuno, Takayuki

2016-03 , Institute of Economic Research, Hitotsubashi University
内容記述
The views of the Wikipedia pages of companies listed in the Dow Jones Industrial Average (DJIA) were correlated with the future DJIA changes. Such an increase in views suggest that new information is circulating about these companies. We elucidate that such fluctuations in the number of news articles about a stock market are correlated with the future changes of its index by investigating 9,150,000 news articles distributed by Thomson Reuters and the stock market indexes between December 2007 and April 2012. When the number of news articles about companies listed in NYSE and NASDAQ increase/decrease in one week, the Standard & Poor's 500 index (S&P500 index) tends to fall/rise in the next week. On the other hand, the fluctuation in other stock market indexes, which are rarely correlated with NYSE and NASDAQ, are basically random. Markets notably react to the fluctuation in the number of business sector news articles. These characteristics are observed every year.
基盤研究(S) = Grants-in-Aid for Scientific Research (S)
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http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/27773/1/wp045.pdf

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