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Quantifying the relationship between financial news and the stock market
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Alanyali, Merve, Moat, Helen Susannah and Preis, Tobias (2013) Quantifying the relationship between financial news and the stock market. Scientific Reports, Volume 3 . Article number 3578. doi:10.1038/srep03578
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WRAP_Preis_srep03578.pdf - Published Version Available under License Creative Commons Attribution. Download (885Kb) | Preview |
Official URL: http://dx.doi.org/10.1038/srep03578
Abstract
The complex behavior of financial markets emerges from decisions made by many traders. Here, we exploit a large corpus of daily print issues of the Financial Times from 2nd January 2007 until 31st December 2012 to quantify the relationship between decisions taken in financial markets and developments in financial news. We find a positive correlation between the daily number of mentions of a company in the Financial Times and the daily transaction volume of a company's stock both on the day before the news is released, and on the same day as the news is released. Our results provide quantitative support for the suggestion that movements in financial markets and movements in financial news are intrinsically interlinked.
| Item Type: | Journal Article | ||||
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| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
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| Divisions: | Faculty of Social Sciences > Warwick Business School > Behavioural Science Faculty of Social Sciences > Warwick Business School |
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| Library of Congress Subject Headings (LCSH): | Stock exchanges , Stock exchanges and current events, Journalism, Commercial , Newspapers -- Sections, columns, etc. -- Finance | ||||
| Journal or Publication Title: | Scientific Reports | ||||
| Publisher: | Nature Publishing Group | ||||
| ISSN: | 2045-2322 | ||||
| Official Date: | 20 December 2013 | ||||
| Dates: |
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| Date of first compliant deposit: | 26 December 2015 | ||||
| Volume: | Volume 3 | ||||
| Page Range: | Article number 3578 | ||||
| DOI: | 10.1038/srep03578 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Open Access | ||||
| Funder: | Erasmus Mundus (Program), Research Councils UK (RCUK), United States. Department of the Interior (DOI), National Business Center (U.S.) | ||||
| Grant number: | EP/K039830/1 (RCUK) ; D12PC00285 (DoI/NBC) |
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