Laboratory for Information Systems, Division of Electronics, Ruđer Bošković Institute, Croatia.
Department of Knowledge Technologies, Jožef Stefan Institute, Slovenia.
Sci Rep. 2014 May 22;4:5038. doi: 10.1038/srep05038.
Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.
受近期金融危机的启发，人们投入了大量的研究努力来研究金融市场中的传染效应和羊群行为。然而，关于金融新闻对金融市场的影响，人们却很少提及。我们提出了一种基于网络金融新闻的新的集体行为度量方法，即新闻凝聚指数（NCI），并证明该指数可以用作金融市场波动的指标。我们使用 2011 年 10 月至 2013 年 7 月期间来自大型网络新闻源的金融文档，每天评估 NCI，并分析金融市场与金融相关新闻之间的相互作用。我们假设金融新闻中的强凝聚力反映了金融市场的波动。我们的研究结果表明，金融新闻的凝聚力与金融市场的波动高度相关，并受其驱动。
