Trading strategy of a stock index based on the frequency of news releases for listed companies

Yoshifumi Tahira () and Takayuki Mizuno ()
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Yoshifumi Tahira: Chuo University Graduate School of Science and Engineering
Takayuki Mizuno: PRESTO Japan Science and Technology Agency

Evolutionary and Institutional Economics Review, 2016, vol. 13, issue 2, No 10, 437-444

Abstract: Abstract The browsing frequency of Wikipedia pages for companies listed in the Dow Jones Industrial Average (DJIA) has been shown to be related to future DJIA changes. The number of Wikipedia page views increases after new information for these companies is released. Therefore, the frequency of listed companies’ news releases often reflects future stock market conditions. We show that the trading strategy performance of a stock index based on the frequency of news releases is better than that of a trading strategy that randomly buys or sells its stock index. When the number of news articles for companies listed on the NYSE and NASDAQ increases/decreases in a week, the Standard & Poor’s 500 index (S&P500 index) tends to fall/rise the following week. In particular, the trading strategy performance using news articles for the business sector is good. We confirmed these characteristics for the period of December 2007 to April 2012.

Keywords: Econophysics; Stock market; Business news; Exogenous shock (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s40844-016-0054-1

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