Novel and topical business news and their impact on stock market activity
Abstract We propose an indicator to measure the degree to which a particular news article is novel, as well as an indicator to measure the degree to which a particular news item attracts attention from investors. The novelty measure is obtained by comparing the extent to which a particular news arti...
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doaj-d7c5af2faab948e4a8d029a9f383f6602020-11-24T22:14:51ZengSpringerOpenEPJ Data Science2193-11272017-10-016111410.1140/epjds/s13688-017-0123-7Novel and topical business news and their impact on stock market activityTakayuki Mizuno0Takaaki Ohnishi1Tsutomu Watanabe2National Institute of InformaticsGraduate School of Information Science and Technology, The University of TokyoGraduate School of Economics, The University of TokyoAbstract We propose an indicator to measure the degree to which a particular news article is novel, as well as an indicator to measure the degree to which a particular news item attracts attention from investors. The novelty measure is obtained by comparing the extent to which a particular news article is similar to earlier news articles, and an article is regarded as novel if there was no similar article before it. On the other hand, we say a news item receives a lot of attention and thus is highly topical if it is simultaneously reported by many news agencies and read by many investors who receive news from those agencies. The topicality measure for a news item is obtained by counting the number of news articles whose content is similar to an original news article but which are delivered by other news agencies. To check the performance of the indicators, we empirically examine how these indicators are correlated with intraday financial market indicators such as the number of transactions and price volatility. Specifically, we use a dataset consisting of over 90 million business news articles reported in English and a dataset consisting of minute-by-minute stock prices on the New York Stock Exchange and the NASDAQ Stock Market from 2003 to 2014, and show that price volatility, transaction volumes, and the number of transactions exhibited a significant response to a news article when it was novel and topical.http://link.springer.com/article/10.1140/epjds/s13688-017-0123-7noveltytopicalityexogenous shocksfinancial marketsbusiness news |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Takayuki Mizuno Takaaki Ohnishi Tsutomu Watanabe |
spellingShingle |
Takayuki Mizuno Takaaki Ohnishi Tsutomu Watanabe Novel and topical business news and their impact on stock market activity EPJ Data Science novelty topicality exogenous shocks financial markets business news |
author_facet |
Takayuki Mizuno Takaaki Ohnishi Tsutomu Watanabe |
author_sort |
Takayuki Mizuno |
title |
Novel and topical business news and their impact on stock market activity |
title_short |
Novel and topical business news and their impact on stock market activity |
title_full |
Novel and topical business news and their impact on stock market activity |
title_fullStr |
Novel and topical business news and their impact on stock market activity |
title_full_unstemmed |
Novel and topical business news and their impact on stock market activity |
title_sort |
novel and topical business news and their impact on stock market activity |
publisher |
SpringerOpen |
series |
EPJ Data Science |
issn |
2193-1127 |
publishDate |
2017-10-01 |
description |
Abstract We propose an indicator to measure the degree to which a particular news article is novel, as well as an indicator to measure the degree to which a particular news item attracts attention from investors. The novelty measure is obtained by comparing the extent to which a particular news article is similar to earlier news articles, and an article is regarded as novel if there was no similar article before it. On the other hand, we say a news item receives a lot of attention and thus is highly topical if it is simultaneously reported by many news agencies and read by many investors who receive news from those agencies. The topicality measure for a news item is obtained by counting the number of news articles whose content is similar to an original news article but which are delivered by other news agencies. To check the performance of the indicators, we empirically examine how these indicators are correlated with intraday financial market indicators such as the number of transactions and price volatility. Specifically, we use a dataset consisting of over 90 million business news articles reported in English and a dataset consisting of minute-by-minute stock prices on the New York Stock Exchange and the NASDAQ Stock Market from 2003 to 2014, and show that price volatility, transaction volumes, and the number of transactions exhibited a significant response to a news article when it was novel and topical. |
topic |
novelty topicality exogenous shocks financial markets business news |
url |
http://link.springer.com/article/10.1140/epjds/s13688-017-0123-7 |
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