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Identifier to cite or link to this item: https://hdl.handle.net/10086/21182

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Title
Temporal and Cross Correlations in Business News
Creator
Creator Name
Mizuno, Takayuki Mizuno, Takayuki
Affiliation
Affiliation Name
University of Tsukuba
Affiliation
Affiliation Name
Canon Institute for Global Studies
Creator Name
Takei, Kazumasa Takei, Kazumasa
Affiliation
Affiliation Name
The Norinchukin Bank
Creator Name
Ohnishi, Takaaki Ohnishi, Takaaki
Affiliation
Affiliation Name
Canon Institute for Global Studies
Affiliation
Affiliation Name
University of Tokyo
Creator Name
Watanabe, Tsutomu Watanabe, Tsutomu
Affiliation
Affiliation Name
Canon Institute for Global Studies
Affiliation
Affiliation Name
University of Tokyo
Editor
Contributor Name
持続的成長を可能にする産業・金融ネットワークの設計 = Design of industry and financial network where sustained growth is enabled
Contributor Name
Institute of Economic Research, Hitotsubashi University
Abstract
We empirically investigated temporal and cross correlations in the frequency of news reports on companies using a unique dataset with more than 100 million news articles reported in English by around 500 press agencies worldwide for the period 2003-2009. Our main findings are as follows. First, the frequency of news reports on a company does not follow a Poisson process; instead, it is characterized by long memory with a positive autocorrelation for more than a year. Second, there exist significant correlations in the frequency of news across companies. Specifically, on a daily or longer time scale, the frequency of news is governed by external dynamics such as an increase in the number of news due to, for example, the outbreak of an economic crisis, while it is governed by internal dynamics on a time scale of minutes. These two findings indicate that the frequency of news on companies has similar statistical properties as trading activities, measured by trading volumes or price volatility, in stock markets, suggesting that the flow of information through news on companies plays an important role in price dynamics in stock markets.
Publisher
Research Center for Interfirm Network, Institute of Economic Research, Hitotsubashi University
Issued Date
2011-11
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
IFN Working Paper ; No. 13
Relation
Related Identifier
URI
  http://www.ier.hit-u.ac.jp/ifn/
Number of Pages
12
Sponsorship
近未来の課題解決を目指した実証的社会科学推進事業
Appears in Collections
Working Paper Series / Design of industry and financial network where sustained growth is enabled
URL
https://hdl.handle.net/10086/21182