Trading strategy of a stock index based on the frequency of news releases for listed companies
Author
Abstract
Suggested Citation
DOI: 10.1007/s40844-016-0054-1
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Amos Tversky & Daniel Kahneman, 1991. "Loss Aversion in Riskless Choice: A Reference-Dependent Model," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 106(4), pages 1039-1061.
- Rangel, José Gonzalo, 2011.
"Macroeconomic news, announcements, and stock market jump intensity dynamics,"
Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
- Rangel José Gonzalo, 2009. "Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics," Working Papers 2009-15, Banco de México.
- Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2013. "High Quality Topic Extraction from Business News Explains Abnormal Financial Market Volatility," PLOS ONE, Public Library of Science, vol. 8(6), pages 1-12, June.
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," Papers 1507.06477, arXiv.org.
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," CARF F-Series CARF-F-366, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Z.-Q. Jiang & L. Guo & W.-X. Zhou, 2007. "Endogenous and exogenous dynamics in the fluctuations of capital fluxes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 57(3), pages 347-355, June.
- Mike Thelwall & Kevan Buckley & Georgios Paltoglou & Di Cai & Arvid Kappas, 2010. "Sentiment strength detection in short informal text," Journal of the American Society for Information Science and Technology, Association for Information Science & Technology, vol. 61(12), pages 2544-2558, December.
- Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2012. "High quality topic extraction from business news explains abnormal financial market volatility," Papers 1210.6321, arXiv.org, revised Mar 2013.
- Mike Thelwall & Kevan Buckley & Georgios Paltoglou & Di Cai & Arvid Kappas, 2010. "Sentiment strength detection in short informal text," Journal of the Association for Information Science & Technology, Association for Information Science & Technology, vol. 61(12), pages 2544-2558, December.
- Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley, 2010. "Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws," Papers 1006.1882, arXiv.org, revised Oct 2010.
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," UTokyo Price Project Working Paper Series 055, University of Tokyo, Graduate School of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tahira, Yoshifumi & Mizuno, Takayuki, 2016. "Amount of news before stock market fluctuations," HIT-REFINED Working Paper Series 45, Institute of Economic Research, Hitotsubashi University.
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," UTokyo Price Project Working Paper Series 055, University of Tokyo, Graduate School of Economics.
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," CARF F-Series CARF-F-366, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," Papers 1507.06477, arXiv.org.
- Jian-Wu Bi & Tian-Yu Han & Yanbo Yao & Hui Li, 2022. "Ranking hotels through multi-dimensional hotel information: a method considering travelers’ preferences and expectations," Information Technology & Tourism, Springer, vol. 24(1), pages 127-155, March.
- Wang, Fang & Du, Zhao & Wang, Shan, 2023. "Information multidimensionality in online customer reviews," Journal of Business Research, Elsevier, vol. 159(C).
- Ma, Jie & Tse, Ying Kei & Wang, Xiaojun & Zhang, Minhao, 2019. "Examining customer perception and behaviour through social media research – An empirical study of the United Airlines overbooking crisis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 127(C), pages 192-205.
- Müller-Hansen, Finn & Lee, Yuan Ting & Callaghan, Max & Jankin, Slava & Minx, Jan C., 2022. "The German coal debate on Twitter: Reactions to a corporate policy process," Energy Policy, Elsevier, vol. 169(C).
- Daesik Kim & Chung Joo Chung & Kihong Eom, 2022. "Measuring Online Public Opinion for Decision Making: Application of Deep Learning on Political Context," Sustainability, MDPI, vol. 14(7), pages 1-16, March.
- T. T. Chen & B. Zheng & Y. Li & X. F. Jiang, 2017. "New approaches in agent-based modeling of complex financial systems," Papers 1703.06840, arXiv.org.
- Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani, 2014. "Coupling news sentiment with web browsing data improves prediction of intra-day price dynamics," Papers 1412.3948, arXiv.org, revised Dec 2015.
- Tadić, Bosiljka & Mitrović Dankulov, Marija & Melnik, Roderick, 2023. "Evolving cycles and self-organised criticality in social dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).
- Ping-Yu Hsu & Hong-Tsuen Lei & Shih-Hsiang Huang & Teng Hao Liao & Yao-Chung Lo & Chin-Chun Lo, 2019. "Effects of sentiment on recommendations in social network," Electronic Markets, Springer;IIM University of St. Gallen, vol. 29(2), pages 253-262, June.
- Cohen, Scott & Stienmetz, Jason & Hanna, Paul & Humbracht, Michael & Hopkins, Debbie, 2020. "Shadowcasting tourism knowledge through media: Self-driving sex cars?," Annals of Tourism Research, Elsevier, vol. 85(C).
- Zhang, Xuetong & Zhang, Weiguo, 2023. "Information asymmetry, sentiment interactions, and asset price," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Indy Wijngaards & Martijn Burger & Job van Exel, 2019. "The promise of open survey questions—The validation of text-based job satisfaction measures," PLOS ONE, Public Library of Science, vol. 14(12), pages 1-22, December.
- Junegak Joung & Ki-Hun Kim & Kwangsoo Kim, 2021. "Data-Driven Approach to Dual Service Failure Monitoring From Negative Online Reviews: Managerial Perspective," SAGE Open, , vol. 11(1), pages 21582440209, January.
- Ema Kušen & Mark Strembeck, 2021. "“Evacuate everyone south of that line” Analyzing structural communication patterns during natural disasters," Journal of Computational Social Science, Springer, vol. 4(2), pages 531-565, November.
- Wen Zhang & Daniel R. Fesenmaier, 2018. "Assessing emotions in online stories: comparing self-report and text-based approaches," Information Technology & Tourism, Springer, vol. 20(1), pages 83-95, December.
- Sejung Park & Jin-A Choi, 2023. "Comparing public responses to apologies: examining crisis communication strategies using network analysis and topic modeling," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3603-3620, August.
More about this item
Keywords
Econophysics; Stock market; Business news; Exogenous shock;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eaiere:v:13:y:2016:i:2:d:10.1007_s40844-016-0054-1. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.