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Data Analysis and Knowledge Discovery  0, Vol. Issue (): 1-    DOI: 10.11925/infotech.2020.0063
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Research on the Relationship between Heterogeneous of Financial News and Stock Market
Lv Huakui,Liu Zhenghao,Qian Yuxing,Hong Xudong
(Center for Studies of Information Resources, Wuhan University, Wuhan 430072, China)
(Big Data Institute, Wuhan University, Wuhan 430072, China)
(Institute of Finance and economics, Shanghai University of Finance and Economics,Shanghai 200433, China)
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Abstract  

[Objective] This paper discussed the relationship between different types of financial news and stock market by classifying financial news. [Methods] We used Word2vec +k-means to cluster news texts, and VAR model is used to analyze how different types of news affect the stock market and how the change of stock market reacted to news from the time dimension. [Results] The news emotion effect and information effect under different categories can significantly affect the trading volume, amplitude and return of the stock market, but the three categories of news have different emphasis on the impact on the stock market. The stock market yield and trading volume reflect the emotional differences and news length respectively, but are still affected by the news category. [Limitations] We analyzed the relationship between stock market and news from the perspective of the whole stock market without considering the differences between stock.  [Conclusions] There is an interaction mechanism between news and stock market, and there is a time lag effect. News category is a key variable in the interaction between the two.

Key words： heterogeneous news      VAR      stock market      sentiment analysis      
Published: 04 September 2020
ZTFLH:  F832.5，G35  
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Cite this article:

Lv Huakui, Liu Zhenghao, Qian Yuxing, Hong Xudong. Research on the Relationship between Heterogeneous of Financial News and Stock Market . Data Analysis and Knowledge Discovery, 0, (): 1-.

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https://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/10.11925/infotech.2020.0063     OR     https://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/Y0/V/I/1

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