Cohesiveness in Financial News and its Relation to Market Volatility

Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour base...

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Autores principales: Piškorec, Matija, Antulov-Fantulin, Nino, Novak, Petra Kralj, Mozetič, Igor, Grčar, Miha, Vodenska, Irena, Šmuc, Tomislav
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Nature Publishing Group 2014
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4030282/
https://www.ncbi.nlm.nih.gov/pubmed/24849598
http://dx.doi.org/10.1038/srep05038
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author Piškorec, Matija
Antulov-Fantulin, Nino
Novak, Petra Kralj
Mozetič, Igor
Grčar, Miha
Vodenska, Irena
Šmuc, Tomislav
author_facet Piškorec, Matija
Antulov-Fantulin, Nino
Novak, Petra Kralj
Mozetič, Igor
Grčar, Miha
Vodenska, Irena
Šmuc, Tomislav
author_sort Piškorec, Matija
collection PubMed
description Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.
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spelling pubmed-40302822014-05-28 Cohesiveness in Financial News and its Relation to Market Volatility Piškorec, Matija Antulov-Fantulin, Nino Novak, Petra Kralj Mozetič, Igor Grčar, Miha Vodenska, Irena Šmuc, Tomislav Sci Rep Article Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets. Nature Publishing Group 2014-05-22 /pmc/articles/PMC4030282/ /pubmed/24849598 http://dx.doi.org/10.1038/srep05038 Text en Copyright © 2014, Macmillan Publishers Limited. All rights reserved http://creativecommons.org/licenses/by-nc-sa/3.0/ This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 3.0 Unported License. The images in this article are included in the article's Creative Commons license, unless indicated otherwise in the image credit; if the image is not included under the Creative Commons license, users will need to obtain permission from the license holder in order to reproduce the image. To view a copy of this license, visit http://creativecommons.org/licenses/by-nc-sa/3.0/
spellingShingle Article
Piškorec, Matija
Antulov-Fantulin, Nino
Novak, Petra Kralj
Mozetič, Igor
Grčar, Miha
Vodenska, Irena
Šmuc, Tomislav
Cohesiveness in Financial News and its Relation to Market Volatility
title Cohesiveness in Financial News and its Relation to Market Volatility
title_full Cohesiveness in Financial News and its Relation to Market Volatility
title_fullStr Cohesiveness in Financial News and its Relation to Market Volatility
title_full_unstemmed Cohesiveness in Financial News and its Relation to Market Volatility
title_short Cohesiveness in Financial News and its Relation to Market Volatility
title_sort cohesiveness in financial news and its relation to market volatility
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4030282/
https://www.ncbi.nlm.nih.gov/pubmed/24849598
http://dx.doi.org/10.1038/srep05038
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