Temporal and Cross Correlations in Business News

Takayuki Mizuno, Kazumasa Takei, Takaaki Ohnishi and Tsutomu Watanabe

No 13, Working Paper Series from Center for Interfirm Network, Institute of Economic Research, Hitotsubashi University

Abstract: We empirically investigated temporal and cross correlations in the frequency of news reports on companies using a unique dataset with more than 100 million news articles reported in English by around 500 press agencies worldwide for the period 2003-2009. Our main findings are as follows. First, the frequency of news reports on a company does not follow a Poisson process; instead, it is characterized by long memory with a positive autocorrelation for more than a year. Second, there exist significant correlations in the frequency of news across companies. Specifically, on a daily or longer time scale, the frequency of news is governed by external dynamics such as an increase in the number of news due to, for example, the outbreak of an economic crisis, while it is governed by internal dynamics on a time scale of minutes. These two findings indicate that the frequency of news on companies has similar statistical properties as trading activities, measured by trading volumes or price volatility, in stock markets, suggesting that the flow of information through news on companies plays an important role in price dynamics in stock markets.

Pages: 12 pages
Date: 2011-11
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:hit:cinwps:13

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