Quantifying the Relationship between Financial News and the Stock Market

Sci. Rep. 3, 3578 (2013)

6 Pages Posted: 7 Jan 2014

See all articles by Merve Alanyali

Merve Alanyali

University of Warwick - Warwick Business School

Helen Susannah Moat

Data Science Lab, Behavioural Science, Warwick Business School; The Alan Turing Institute

Tobias Preis

Data Science Lab, Behavioural Science, Warwick Business School; The Alan Turing Institute

Date Written: December 20, 2013

Abstract

The complex behavior of financial markets emerges from decisions made by many traders. Here, we exploit a large corpus of daily print issues of the Financial Times from 2nd January 2007 until 31st December 2012 to quantify the relationship between decisions taken in financial markets and developments in financial news. We find a positive correlation between the daily number of mentions of a company in the Financial Times and the daily transaction volume of a company’s stock both on the day before the news is released, and on the same day as the news is released. Our results provide quantitative support for the suggestion that movements in financial markets and movements in financial news are intrinsically interlinked.

Keywords: Big Data, Financial Markets, Nowcasting, Data Mining, Financial Times, Computational Social Science, Dow Jones Industrial Average

JEL Classification: A10, B40, C10, C20, C22, C53, C90, D70, D79, D83, J10, J11, O40, O47

Suggested Citation

Alanyali, Merve and Moat, Helen Susannah and Preis, Tobias, Quantifying the Relationship between Financial News and the Stock Market (December 20, 2013). Sci. Rep. 3, 3578 (2013), Available at SSRN: https://ssrn.com/abstract=2375592

Merve Alanyali

University of Warwick - Warwick Business School ( email )

Coventry CV4 7AL
United Kingdom

Helen Susannah Moat

Data Science Lab, Behavioural Science, Warwick Business School ( email )

University of Warwick
Coventry, CV4 7AL
United Kingdom

HOME PAGE: http://www.wbs.ac.uk/about/person/suzy-moat/

The Alan Turing Institute ( email )

British Library 96 Euston Road
London, NW12DB
United Kingdom

HOME PAGE: http://www.turing.ac.uk/people/researchers/suzy-moat

Tobias Preis (Contact Author)

Data Science Lab, Behavioural Science, Warwick Business School ( email )

University of Warwick
Coventry, CV4 7AL
United Kingdom

HOME PAGE: http://www.tobiaspreis.com

The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

HOME PAGE: http://https://www.turing.ac.uk/people/researchers/tobias-preis

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