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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 ISSN 2045-2322.

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Official URL: http://dx.doi.org/10.1038/srep03578

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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
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Warwick Business School > Behavioural Science
Faculty of Social Sciences > Warwick Business School
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:
DateEvent
20 December 2013Published
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 (Creative Commons)
Date of first compliant deposit: 26 December 2015
Date of first compliant Open Access: 26 December 2015
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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