Correlations and flow of information between the New York Times and stock markets

被引：13
|
作者：
Garcia-Medina, Andres [1 ]
Sandoval Junior, Leonidas [3 ]
Urrutia Banuelos, Efrain [2 ]
Martinez-Arguello, A. M. [4 ]
机构：
[1] CONACYT, Ctr Invest Matemat AC, CIMAT Unidad Monterrey PITT, Monterrey, Nuevo Leon, Mexico
[2] Univ Sonora, Phys Res Dept, Hermosillo 83000, Sonora, Mexico
[3] Insper, Inst Ensino & Pesquisa, Rua Quata 300, BR-04546240 Sao Paulo, SP, Brazil
[4] Benemerita Univ Autonoma Puebla, Inst Fis, Apartado Postal J-48, Puebla 72570, Mexico
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2018年 / 502卷
关键词：
Random matrix theory; Transfer entropy; Sentiment analysis; Behavioral finance; RANDOM-MATRIX THEORY; CROSS-CORRELATIONS; TRANSFER ENTROPY; SENTIMENT; DISTRIBUTIONS; NETWORK;
D O I：
10.1016/j.physa.2018.02.154
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months along the period 2015-2016. The set of news is quantified and transformed into daily polarity time series using tools from sentiment analysis. The results show that a common factor influences the world indices and news, which even share the same dynamics. Furthermore, the global correlation structure is found to be preserved when adding white noise, what indicates that correlations are not due to sample size effects. Likewise, we find a considerable amount of information flowing from news to world indices for some specific delay. This is of practical interest for trading purposes. Our results suggest a deep relationship between news and world indices, and show a situation where news drive world market movements, giving a new evidence to support behavioral finance as the current economic paradigm. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：403 / 415
页数：13
相关论文
共 50 条
  • [41] New York markets
    Textile World, 1997, 147 (09):
  • [42] New York markets
    Text World, 11 (90):
  • [43] The Transmission of Pricing Information of Dually-Listed between Hong Kong and New York Stock Exchange
    Li, Shuangfei
    Chen, Shou
    Li, Xiaoxiao
    SEVENTH WUHAN INTERNATIONAL CONFERENCE ON E-BUSINESS, VOLS I-III: UNLOCKING THE FULL POTENTIAL OF GLOBAL TECHNOLOGY, 2008, : 1502 - 1507
  • [44] Study on the waiting times in Chinese stock markets
    Li, Qide
    Wang, Jun
    PROCEEDINGS OF THE 6TH WSEAS INTERNATIONAL CONFERENCE ON APPLIED COMPUTER SCIENCE, 2007, : 607 - 611
  • [45] NEW-YORK-TIMES INFORMATION BANK IN NORTH-YORK-PUBLIC-LIBRARY
    OLIVER, D
    ARBUCKLE, J
    CANADIAN LIBRARY JOURNAL, 1977, 34 (01): : 17 - 20
  • [46] ON THE INFORMATIONAL FLOW BETWEEN FINANCIAL-MARKETS - INTERNATIONAL EVIDENCE FROM THIN STOCK AND STOCK INDEX FUTURES MARKETS
    MARTIKAINEN, T
    PUTTONEN, V
    ECONOMICS LETTERS, 1992, 38 (02) : 213 - 216
  • [47] Difference of information transmission between the Chinese stock and index futures markets
    Zhao H.
    Chen X.
    Huang S.
    Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2018, 38 (04): : 863 - 873
  • [48] IS THERE TWO-WAY ASYNCHRONOUS INFORMATION TRANSMISSION BETWEEN STOCK MARKETS AND STOCK MESSAGE BOARDS?
    Dong, Dayong
    Li, Liaoliao
    Yang, Dan
    Zhu, Huilin
    Cao, Qilin
    Lu, Yong
    INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, 2012, 11 (04) : 777 - 792
  • [49] Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets
    Todea, Alexandru
    CHAOS SOLITONS & FRACTALS, 2016, 87 : 208 - 215
  • [50] Empirical Modeling the Dynamic Conditional Correlations between Shanghai and Hong Kong Stock Markets
    Sed'a, Petr
    Antonio Jimber del Rio, Juan
    MANAGING AND MODELLING OF FINANCIAL RISKS - 8TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PT III, 2016, : 880 - 887
12345