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Novel and topical business news and their impact on stock market activities

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
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Takayuki Mizuno: National Institute of Informatics, Department of Informatics, SOKENDAI (The Graduate University for Advanced Studies), PRESTO, Japan Science and Technology Agency, The Canon Institute for Global Studies,
Takaaki Ohnishi: Graduate School of Information Science and Technology, University of Tokyo, The Canon Institute for Global Studies,
Tsutomu Watanabe: Graduate School of Economics, University of Tokyo, The Canon Institute for Global Studies

No 55, UTokyo Price Project Working Paper Series from University of Tokyo, Graduate School of Economics

Abstract: 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.

Keywords: novelty; topicality; exogenous shocks; financial markets; business news (search for similar items in EconPapers)
Date: 2015-07
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