CSNLFD: China Stock News Leader-Follower Dataset

6 Pages Posted: 29 Feb 2024

See all articles by Shuyi Ge

Shuyi Ge

Nankai University - Department of Finance

Shaoran Li

Peking University

Xinping Li

Peking University - School of Economics

Xianglong Yan

Peking University - School of Economics

Hanyu Zheng

The University of Hong Kong - Faculty of Business and Economics

Date Written: February 13, 2024

Abstract

In this paper, we introduce the first dataset that records the news-implied leader-follower relationships in the Chinese A-share market. Our study is based on 1,138,247 financial news articles from 1999 to 2022. We propose three types of leader-follower models including "News Title and Content Leader-Follower'' that defines stocks in the news title as leaders and stocks in the news body as followers, "Same Passage Leader-Follower'' that defines the stock mentioned first in the news body as the leader and stocks mentioned later as followers, and "Same Sentence Leader-Follower'' that defines the stock mentioned first in one sentence as the leader and following stocks in the same sentence as followers. Our dataset builds up the directed relationships between A-share stocks and can help with information transmission analysis, trading strategy construction, risk and portfolio management.

Keywords: Big data, News, Chinese stock market, Textual analysis, Stock links, Leader-follower

JEL Classification: G11, G12, G14

Suggested Citation

Ge, Shuyi and Li, Shaoran and Li, Xinping and Yan, Xianglong and Zheng, Hanyu, CSNLFD: China Stock News Leader-Follower Dataset (February 13, 2024). Available at SSRN: https://ssrn.com/abstract=4723668 or http://dx.doi.org/10.2139/ssrn.4723668

Shuyi Ge

Nankai University - Department of Finance ( email )

94 Weijin Road
Tianjin, 300071
China

Shaoran Li (Contact Author)

Peking University ( email )

No. 38 Xueyuan Road
Haidian District
Beijing, 100871
China

Xinping Li

Peking University - School of Economics ( email )

Yiheyuan Road
the school of economics builiding
Beijing, 000000
China

Xianglong Yan

Peking University - School of Economics ( email )

Yiheyuan Road
the school of economics builiding
BEIJING, 000000
China

Hanyu Zheng

The University of Hong Kong - Faculty of Business and Economics ( email )

Pokfulam Road
Hong Kong
China

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