A total of 891,171 more terms and conditions occur on Monetary Moments corpus

150 150 Aljoša Domijan

A total of 891,171 more terms and conditions occur on Monetary Moments corpus

I start all of our research of your matchmaking between economic reports and you may economic parece of your own 29 companies that was basically listed in the fresh Dow jones Commercial Average (DJIA) ranging from 2 nd , a time where we have transaction frequency and speed studies to the DJIA areas

Any kind of time once, the new DJIA include 30 enterprises. Although not, Travelers replaced Citigroup regarding the DJIA during the period of our very own analysis. Regarding computations reported, i consider stock analysis and reports investigation both for ones people. Full specifics of the organization brands found in brand new corpus investigation are offered throughout the Secondary Guidance (Desk S1).

I have a look at the partnership between interest in a pals in the information and you may demand for a friends on the stock places

Holds to own businesses listed in the brand new DJIA is traded from the New york Stock market (NYSE), unlock between nine:29 was and you may 4 pm Nyc time (for almost all of the year, 2:31 pm in order to 9 pm London area time). We do that it study and all of following analyses to have change months simply, leaving out the sundays and you can bank 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 level of says out of “Financial off America” about Financial Moments and you will day-after-day exchange regularity getting Financial of The united states (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 https://datingranking.net/local-hookup/sacramento/ 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.

Author

Aljoša Domijan

All stories by: Aljoša Domijan