Analysing the influence of headline news on the stock market in Japan

  • Authors:

  • Yasuo Yamashita;Hiroaki Joutaki;Hiroshi Takahashi

  • Affiliations:

  • Quantitative Investment Department, Sumitomo Mitsui Trust Bank, 1-4-1 Marunouchi, Chiyoda-ku, Tokyo 100-8233, Japan;Fixed Income Investment Department, Sumitomo Mitsui Trust Bank, 1-4-1 Marunouchi, Chiyoda-ku, Tokyo 100-8233, Japan;Graduate School of Business Administration, Keio University, 2-15-45 Mita, Minato-Ku, Tokyo 108-8345, Japan

  • Venue:
  • International Journal of Intelligent Systems Technologies and Applications
  • Year:
  • 2013

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Abstract

This research analysed the relationship between headlines in the news and the stock market in Japan through text mining technology. As a result of intensive analyses, we found a significant relationship between the stock index return changes and the negative or positive news classified by keywords. At the same time, we also found that the measure of constructing a keyword list has a significant impact on the performance of this classification.