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Novel and topical business news and their impact on stock market activities
http://hdl.handle.net/2261/57113
http://hdl.handle.net/2261/571130d58a57b-3064-4771-b396-db82c19a6462
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp073.pdf (266.8 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2015-08-19 | |||||
| タイトル | ||||||
| タイトル | Novel and topical business news and their impact on stock market activities | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | novelty | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | topicality | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | exogenous shocks | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | financial | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | markets | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | business news | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Mizuno, Takayuki
× Mizuno, Takayuki× Ohnishi, Takaaki× Watanabe, Tsutomu |
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| 著者所属 | ||||||
| 著者所属 | National Institute of Informatics | |||||
| 著者所属 | ||||||
| 著者所属 | Department of Informatics, SOKENDAI (The Graduate University for Advanced Studies) | |||||
| 著者所属 | ||||||
| 著者所属 | PRESTO, Japan Science and Technology Agency | |||||
| 著者所属 | ||||||
| 著者所属 | The Canon Institute for Global Studies | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Information Science and Technology, University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Economics, University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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 minuteby- minute stock prices on the New York Stock Exchange and the NASDAQ Stock Market from 2003 to 2014, and show that stock prices and transaction volumes exhibited a significant response to a news article when it is novel and topical. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 073, 発行日 2015-07 |
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| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
