Abstract
This paper focuses on the relationship between news content of conference calls and stock price volatility for TWSE corporations and GTSM corporations. Our sample contains companies including listed in a Taiwan Stock Exchange companies and listed in Over-the-Counter companies that holding their conference calls on March during five-year period 2010–2014. We build rules of scoring to read the news of conference calls and use dictionary to objectively count the positive words and negative words in the news. This study’s hypothesis is that (1) the less of the SCORE and TONE the more stock price volatility will produce; (2) the more QUANTITY of news, the more stock price volatility will produce. We use ordinary least squares regression to test our hypothesis. The empirical results show that there is a significantly negative relation between SCORE of news content and stock price volatility and there is a negative relation between TONE of news and stock price volatility. In addition, there is a significantly positive relation between QUANTITY of news and stock price volatility.
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Acknowledgement
This research is supported by NSC 102-2627-E-004-001, MOST 103-2627-E-004-001, MOST 104-2627-E-004-001.
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Seng, JL., Wu, YH., Yang, HF. (2016). Conference Calls’ News Analysis and Stock Price Volatility. In: Król, D., Madeyski, L., Nguyen, N. (eds) Recent Developments in Intelligent Information and Database Systems. Studies in Computational Intelligence, vol 642. Springer, Cham. https://doi.org/10.1007/978-3-319-31277-4_22
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DOI: https://doi.org/10.1007/978-3-319-31277-4_22
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