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
[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.
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