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Data Analysis and Knowledge Discovery  2021, Vol. 5 Issue (1): 99-111    DOI: 10.11925/infotech.2096-3467.2020.0063
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Relationship Between Financial News and Stock Market Fluctuations
Lv Huakui1,2(),Liu Zhenghao1,2,Qian Yuxing1,Hong Xudong3
1Center for Studies of Information Resources, Wuhan University, Wuhan 430072, China
2Big Data Institute, Wuhan University, Wuhan 430072, China
3Institute of Finance and Economics, Shanghai University of Finance and Economics,Shanghai 200433, China
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Abstract  

[Objective] This paper explores the impacts of financial news on the stock market fluctuations.[Methods] We used the method of “Word2Vec+k-means” to cluster news texts, and utilized VAR model to analyze the relationship between different types of news and the stock market performance.[Results] The sentiments and information of news significantly affect the trading volumes, amplitudes and returns of the stock market. Meanwhile, the fluctuations of stock market also influenced the emotion and length of the news reports.[Limitations] We did not analyze the relationship between the individual stock and news reports.[Conclusions] There are interactions and time-lag effects between news and stock market, while the news category is a key player.

Key wordsHeterogeneous News      VAR Model      Stock Market      Sentiment Analysis     
Received: 19 January 2020      Published: 05 February 2021
ZTFLH:  F832  
Fund:The work is supported by the National Natural Science Foundation of China Grant No(91646206)
Corresponding Authors: Lv Huakui     E-mail: lvhuakui@whu.edu.cn

Cite this article:

Lv Huakui,Liu Zhenghao,Qian Yuxing,Hong Xudong. Relationship Between Financial News and Stock Market Fluctuations. Data Analysis and Knowledge Discovery, 2021, 5(1): 99-111.

URL:

http://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/10.11925/infotech.2096-3467.2020.0063     OR     http://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/Y2021/V5/I1/99

Research Framework
财经新闻类别 含义 举例
股市波动类 对个股涨跌情况或股市整体变动情况描述的新闻 3月15日,恒指开盘微跌0.03%,资讯科技板块走强,领涨恒生十一大行业板块。截至9:57,恒生资讯科技业指数涨幅扩大至0.78%,居行业涨幅榜首位,恒指由绿翻红,涨0.20%
股权及高管变动类 招商引资、并购重组等会导致公司股权情况发生变化以及公司董监高等人事重大变动的新闻 根据港交所最新权益披露资料显示,2018年12月14日,常茂生物(00954.HK)获董事长芮新生场内增持5.2万股,每股均价0.6838港元,涉资约3.56万港元
公司战略及其他类 公司在战略上的改变及国家政策变动等宏观新闻 全国政协委员、中国东方电气集团党组书记、董事长邹磊3月2日对中国证券报记者表示,东方电气正积极推进与民营企业开展混合所有制的合作,目前正与多家民营公司洽谈
Definition of Three Kinds of News
指标 公式 变量解释
收益率[29] Returnt=ln(Pricet)-ln(Pricet-1) Pricet沪深300在t时刻的收盘价;Pricet-1t时刻前一时刻的收盘价
成交量 TradingVolumet=ln (Round(TradingVt,-2)) TradingVtt时刻的成交量;Round()函数表示对成交量取整
股市振幅 Amplitudet=Priceth-PricetlPricetl Pricetht时刻沪深300的最高价;Pricetlt时刻的最低价
新闻情感[29] Sentk=ln[1+Mkpos1+Mkneg]
Sentt=1jk=1jSentk
Sentk为每条新闻情感值;Mkpos为文本k中所含积极情感得分,即文本中所有积极情感句分值之和;Mkneg为消极情感得分;Senttt时刻的新闻情感值;jt时刻的新闻数量
情感分歧[30] SentSVt=1jk=1j(Sentt,k-Sentt)2 Sentt,kt时刻新闻k表达的情感;Senttt时刻平均文本情感值
新闻数量[31] NewsVolumet=ln(1+NewsVt) NewsVt当天的新闻数量
新闻长度[32,33] NewsLengtht=lnk=1jNewsLengthkj NewsLengthk为文本k所含字数
Index Definition
新闻类型 数据量 变量 平均值 最大值 最小值 标准差
股市波动类 198 615 Sent
SentSV
NewsVolume
NewsLength
0.579
1.665
4.896
6.813
1.865
3.538
6.553
7.833
-0.586
0.239
0
5.694
0.307
0.414
1.312
0.260
股权及高管变动类 256 493 Sent
SentSV
NewsVolume
NewsLength
0.991
2.418
5.203
6.486
2.374
5.196
6.917
7.869
-0.082
0
0
5.313
0.274
0.449
1.226
0.315
公司战略及其他类 318 294 Sent
SentSV
NewsVolume
NewsLength
1.788
2.377
5.607
7.142
2.567
4.316
6.815
7.777
0.831
1.083
1.609
6.417
0.234
0.311
0.912
0.158
Descriptive Statistics of Three Kinds of News
Influence of Stock Market Fluctuation News on Stock Market
Influence of Equity and Executive Change News on Stock Market
Influence of Strategy and Other News on Stock Market
Influence of Stock Market on Stock Market Fluctuation News
Influence of Stock Market on Equity and Executive Change News
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