Relation between the Stock Index and Stock BBS

DOI

Bibliographic Information

Other Title
  • 株式指標とインターネット株式掲示板の投稿内容の関連性
  • リスクファクターモデルの構築を目指して

Abstract

We are to analyze relations between stock index and stock BBS. Researches in US find that the stock BBS posting can predict market volatility and trading volume. We will develop hypotheses based on the results of these analyses, and apply statistical analysis to the data of companies that are observed the large amount of message posted in Yahoo! stock topics in 2005-2006. Based on the messages, we will analyze the contents of posting using natural language processing and machine learning. In concerning future stock return, the number of posting is significantly correlated with the volatility and the trading volume, and that significant correlations are observed between the amount of bullish opinion and the stock return. We will discuss that the stock BBS posting become risk factor.

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Keywords

Details 詳細情報について

  • CRID
    1390001205709834112
  • NII Article ID
    130004606177
  • DOI
    10.11497/jasmin.2008s.0.85.0
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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