Int. J. of Intelligent Systems Technologies and Applications   »   2013 Vol.12, No.3/4

 

 

Title: Analysing the influence of headline news on the stock market in Japan

 

Authors: Yasuo Yamashita; Hiroaki Joutaki; Hiroshi Takahashi

 

Addresses:
Quantitative Investment Department, Sumitomo Mitsui Trust Bank, 1-4-1 Marunouchi, Chiyoda-ku, Tokyo 100-8233, Japan
Fixed Income Investment Department, Sumitomo Mitsui Trust Bank, 1-4-1 Marunouchi, Chiyoda-ku, Tokyo 100-8233, Japan
Graduate School of Business Administration, Keio University, 2-15-45 Mita, Minato-Ku, Tokyo 108-8345, Japan

 

Abstract: This research analysed the relationship between headlines in the news and the stock market in Japan through text mining technology. As a result of intensive analyses, we found a significant relationship between the stock index return changes and the negative (or positive) news classified by keywords. At the same time, we also found that the measure of constructing a keyword list has a significant impact on the performance of this classification.

 

Keywords: text mining; stock markets; finance; asset management; asset pricing; headline news; Japan; market influences.

 

DOI: 10.1504/IJISTA.2013.056539

 

Int. J. of Intelligent Systems Technologies and Applications, 2013 Vol.12, No.3/4, pp.328 - 342

 

Submission date: 31 Oct 2012
Date of acceptance: 11 Jun 2013
Available online: 25 Sep 2013

 

 

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