I begin all of our data of one’s relationship anywhere between economic news and you will economic es of 29 companies that was basically listed in brand new Dow-jones Industrial Mediocre (DJIA) between dos nd , a time which you will find transaction regularity and you can price investigation into the DJIA section
At any onetime, the newest DJIA include 31 businesses. However, Traffic changed Citigroup regarding DJIA throughout all of our research. On the computations said, i envision stock study and you may news studies for ones businesses. Full information on the organization names utilized in the new corpus research are given on Additional Pointers (Dining table S1).
I take a look at the the relationship between need for a friends from the information and need for a buddies on the inventory areas
Stocks getting enterprises listed in brand new DJIA are exchanged at Ny Stock exchange (NYSE), open between 9:31 was and you may cuatro pm Nyc go out (for the majority of of the year, 2:29 pm so you can 9 pm London time). I perform it analysis and all pursuing the analyses for exchange weeks just, leaving out the sundays and you can lender getaways.
In Figure 2, we take Bank of America as an example for this analysis and plot the number of daily mentions of “Bank of America” against daily transaction volume for Bank of America. We find that a greater number of daily mentions of “Bank of America” corresponds to a greater daily transaction volume for Bank of America stocks (? = 0.43, p < 0.001, Spearman's rank correlation).
Daily quantity of mentions of “Financial of America” in the Economic Moments and you may each day exchange regularity having Lender out of The usa (BAC) holds.
We depict the correlation between the daily number of mentions of “Bank of America” and the daily transaction volume for Bank of America (BAC) stocks. We find that the daily number of mentions of “Bank of America” is positively correlated with the daily transaction volume for Bank of America (BAC) stocks (? = 0.43, p < 0.001, Spearman's rank correlation).
We extend this analysis to all 31 Dow Jones companies from this period. For each company, we calculate the Spearman’s rank correlation between the daily number of mentions of a company’s name in the Financial Times and the transaction volume of the corresponding company’s stocks (Figure 3). We analyze the distribution of Spearman’s rank correlation coefficients for all 31 companies. Whilst the strongest correlation is found for Bank of America, we find that overall, the correlation coefficients are significantly higher than zero (median correlation coefficient = 0.074; mean correlation coefficient = 0.100, W = 450, p < 0.001, Wilcoxon signed rank test). A greater number of mentions of a company in the news therefore corresponds to a greater transaction volume of a company's stocks. This suggests greater interest in a company in the news is related to greater interest in a company in the stock markets.
For each of the 31 companies that were listed in the Dow Jones Industrial Average between 2 nd , we plot the Spearman’s rank correlation between the daily number of mentions of a company’s name and the transaction volume of the corresponding company’s stockspanies are indicated using their ticker symbol, for which a full list can be found in the Supplementary Information (Table S1). We analyze the distribution of correlation coefficients and find that, overall, the correlation coefficients are significantly higher than zero (median correlation coefficient = 0.074; mean correlation coefficient = 0.100; W = 450, p < 0.001, Wilcoxon signed rank test). In other words, the daily number of mentions of a company's name is positively correlated with the daily transaction volume of a company's stocks.
