论文标题
金融新闻网络和关联的市场变动中的情感相关性
Sentiment Correlation in Financial News Networks and Associated Market Movements
论文作者
论文摘要
在越来越连接的全球市场中，对一家公司的新闻情绪不仅表明其自身市场绩效，而且还可以与其他公司的其他公司的情感和绩效相关联，甚至与其他部门的其他公司的表现相关联。在本文中，我们采用NLP技术来了解87家公司中有87家公司的新闻情绪，为期7年。我们调查了公司网络中这种情感的传播，并根据股票价格和波动性评估了相关的市场变动。我们的结果表明，在某些部门，对一家公司的强烈媒体情绪可能表明，媒体对作为邻居的媒体情绪发生了重大变化，该公司在新闻共同出现的财务网络中以邻居的身份衡量。此外，强烈的媒体情感与异常市场回报与波动性之间存在薄弱但统计学上显着的关联。这种关联在单个公司的水平上更为重要，但是在公司或公司集团的水平上仍然可以看到。
In an increasingly connected global market, news sentiment towards one company may not only indicate its own market performance, but can also be associated with a broader movement on the sentiment and performance of other companies from the same or even different sectors. In this paper, we apply NLP techniques to understand news sentiment of 87 companies among the most reported on Reuters for a period of seven years. We investigate the propagation of such sentiment in company networks and evaluate the associated market movements in terms of stock price and volatility. Our results suggest that, in certain sectors, strong media sentiment towards one company may indicate a significant change in media sentiment towards related companies measured as neighbours in a financial network constructed from news co-occurrence. Furthermore, there exists a weak but statistically significant association between strong media sentiment and abnormal market return as well as volatility. Such an association is more significant at the level of individual companies, but nevertheless remains visible at the level of sectors or groups of companies.
