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

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

Available online: 25 Sep 2013

Full-text access for editors Access for subscribers Purchase this article Comment on this article