Skip to main content
SpringerLink
Log in
Book cover

JSAI International Symposium on Artificial Intelligence

JSAI-isAI 2017: New Frontiers in Artificial Intelligence pp 129–139Cite as

Do News Articles Have an Impact on Trading? - Korean Market Studies with High Frequency Data

  • Conference paper
  • First Online:

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 10838))

Abstract

News is an important source of information for investment decision-making. Many studies analyzing listed companies in the US & Japan have been reported. However, the number of studies focusing on Korean stock markets is limited. This study analyzes the influence of news articles on Korean stock markets with high frequency trading data. Especially, we focus on analyses of the relationship between news articles and financial markets. Furthermore, we also analyze differences in market reactions according to language (English or Korean) of news articles and present three case studies.

This is a preview of subscription content, log in via an institution.

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   39.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Notes

  1. 1.

    Recent progress in computer science contributes to financial studies. Various kinds of methods proposed in computer science -such as support vector machine, deep learning, agent-based modeling and network analysis- have been applied to financial research [2, 17, 18].

  2. 2.

    Source: The World Bank.

  3. 3.

    Calculated from Korea Exchange (KRX) database and Nikkei Economic Electronic Databank System.

  4. 4.

    We previously showed that news articles have an impact on stock trading volume using the high frequency data of Samsung Electronics [21].

References

  1. Antweiler, W., Frank, M.Z.: Is all that talk just noise? The information content of internet stock message boards. J. Financ. 59(3), 1259–1293 (2004)

    Article  Google Scholar 

  2. Bishop, C.M.: Pattern Recognition and Machine Learning. Springer, Heidelberg (2006). https://doi.org/10.1007/978-1-4615-7566-5

    Book  MATH  Google Scholar 

  3. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81(3), 637–654 (1973)

    Article  MathSciNet  Google Scholar 

  4. Campbell, J.Y., Lo, A.W., MacKinlay, A.C.: The Econometrics of Financial Markets. Princeton University Press, Princeton (1997)

    Book  Google Scholar 

  5. Dougal, C., Engelberg, J., Garcia, D., Parsons, C.A.: Journalists and the stock market. Rev. Financ. Stud. 25(3), 639–679 (2012)

    Article  Google Scholar 

  6. Engelberg, J., Reed, A.V., Ringgenberg, M.C.: How are shorts informed? Short sellers, news, and information processing. J. Financ. Econ. 105(2), 260–278 (2012)

    Article  Google Scholar 

  7. Fama, E.: Efficient capital markets: a review of theory and empirical work. J. Financ. 25(2), 383–417 (1970)

    Article  Google Scholar 

  8. Goshima, K., Takahashi, H.: Quantifying news tone to analyze Tokyo stock exchange with recursive neural networks. Secur. Anal. J. 54(3), 76–86 (2016)

    Google Scholar 

  9. Goshima, K., Takahashi, H., Terano, T.: Estimating financial words’ negative-positive from stock prices. In: The 21st International Conference Computing in Economics and Finance (2015)

    Google Scholar 

  10. Goshima, K., Takahashi, H.: Analyzing the relationship between news articles and high frequency trading data in Japanese stock markets. In: The 24th Annual Meeting - Nippon Finance Association (2016)

    Google Scholar 

  11. Ingersoll, J.E.: Theory of Financial Decision Making. Rowman & Littlefield, Lanham (1987)

    Google Scholar 

  12. Kim, Y.M., Willett, T.D.: News and the behavior of the Korean stock market during the global financial crisis. Korea World Econ. 15(3), 395–419 (2014)

    Google Scholar 

  13. Lee, D.W., Cho, J.H.: Stock price reactions to news and the momentum effect in the korean stock market. Asia-Pac. J. Financ. Stud. 43, 556–588 (2014)

    Article  Google Scholar 

  14. Loughran, T., McDonald, B.: When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. J. Financ. 66(1), 35–65 (2011)

    Article  Google Scholar 

  15. Luenberger, D.G.: Investment Science. Oxford University Press, Oxford (2000)

    Google Scholar 

  16. Sharpe, W.F.: Capital asset prices: a theory of market equilibrium under condition of risk. J. Financ. 19(3), 425–442 (1964)

    Google Scholar 

  17. Takahashi, H., Terano, T.: Agent-based approach to investors’ behavior and asset price fluctuation in financial markets. J. Artif. Soc. Soc. Simul. 6(3), 1–3 (2003)

    Google Scholar 

  18. Takahashi, H.: An analysis of the influence of dispersion of valuations on financial markets through agent-based modeling. Int. J. Inf. Technol. Decis. Mak. 11, 143–166 (2012)

    Article  Google Scholar 

  19. Tetlock, P.C.: Giving content to investor sentiment: the role of media in the stock market. J. Financ. 62(3), 1139–1168 (2007)

    Article  Google Scholar 

  20. Tetlock, P.C., Saar-Tsechansky, M., Macskassy, S.: More than words: quantifying language to measure firms fundamentals. J. Financ 63(3), 1437–1467 (2008)

    Article  Google Scholar 

  21. Yoon, S.J., Suge A., Takahashi H.: JSAI International Symposia on AI, Workshop 3: Artificial Intelligence of and for Business (AI-Biz 2017)

    Google Scholar 

Download references

Acknowledgements

This research was supported by a grant-in-aid from the Kayamori Foundation of Informational Science Advancement.

Author information

Authors and Affiliations

  1. Graduate School of Business Administration, Keio University, Hiyoshi 4-1-1, Kohoku-ku, Yokohama-shi, Kanagawa-Ken, Japan

    Sungjae Yoon, Aiko Suge & Hiroshi Takahashi

Authors
  1. Sungjae Yoon
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Aiko Suge
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Hiroshi Takahashi
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Sungjae Yoon .

Editor information

Editors and Affiliations

  1. Chiba University, Chiba, Japan

    Sachiyo Arai

  2. National Institute of Advanced Industrial Science and Technology, Ibaraki, Japan

    Kazuhiro Kojima

  3. Ochanomizu University, Tokyo, Japan

    Koji Mineshima

  4. Ochanomizu University, Tokyo, Japan

    Daisuke Bekki

  5. National Institute of Informatics, Tokyo, Japan

    Ken Satoh

  6. Fujitsu Laboratories Limited, Kanagawa, Japan

    Yuiko Ohta

Rights and permissions

Reprints and permissions

Copyright information

© 2018 Springer International Publishing AG, part of Springer Nature

About this paper

Check for updates. Verify currency and authenticity via CrossMark

Cite this paper

Yoon, S., Suge, A., Takahashi, H. (2018). Do News Articles Have an Impact on Trading? - Korean Market Studies with High Frequency Data. In: Arai, S., Kojima, K., Mineshima, K., Bekki, D., Satoh, K., Ohta, Y. (eds) New Frontiers in Artificial Intelligence. JSAI-isAI 2017. Lecture Notes in Computer Science(), vol 10838. Springer, Cham. https://doi.org/10.1007/978-3-319-93794-6_9

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-93794-6_9

  • Published:

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-93793-9

  • Online ISBN: 978-3-319-93794-6

  • eBook Packages: Computer ScienceComputer Science (R0)

Publish with us

Policies and ethics

Search

Navigation