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

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New Frontiers in Artificial Intelligence (JSAI-isAI 2017)

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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.

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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].

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Acknowledgements

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

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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
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  2. Aiko Suge
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  3. Hiroshi Takahashi
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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

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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

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

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