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Relationship Between Japanese Stock Market Behavior and Category-Based News

Author

Listed:
  • Jun Nakayama

    (Financial Strategy Program, Hitotsubashi University Business School, Tokyo 101-8439, Japan
    Sumitomo Mitsui Banking Corporation, Tokyo 100-0005, Japan)

  • Daisuke Yokouchi

    (Financial Strategy Program, Hitotsubashi University Business School, Tokyo 101-8439, Japan)

Abstract

This study investigates the relationship between news delivered via the QUICK terminal and stock market behavior. Specifically, through an evaluation of the performance of investment strategies that utilize news index created based on its scores indicating positive or negative sentiment, we examine whether index construction that takes into account the content of individual news items contributes to improved predictive power with regard to stock prices. We verify the performance of this investment strategy based on signal indicators derived from news indices focusing on short-term trends using time-series decomposition. After refining the news indicators based on news categories, we observe an improvement in the strategy’s performance, demonstrating that the value of news varies across different categories and the importance of considering the content and meaning of text news.

Suggested Citation

  • Jun Nakayama & Daisuke Yokouchi, 2025. "Relationship Between Japanese Stock Market Behavior and Category-Based News," Risks, MDPI, vol. 13(3), pages 1-29, March.
    • Handle: RePEc:gam:jrisks:v:13:y:2025:i:3:p:50-:d:1607495
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    References listed on IDEAS

    as
    1. Leland Bybee & Bryan Kelly & Yinan Su & Tarun Ramadorai, 2023. "Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text," The Review of Financial Studies, Society for Financial Studies, vol. 36(12), pages 4759-4787.
    2. Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
    Full references (including those not matched with items on IDEAS)

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