Strauß Nadine, Vliegenthart Rens, Verhoeven Piet
University of Amsterdam, The Netherlands.
Communic Res. 2018 Oct;45(7):1054-1077. doi: 10.1177/0093650217705528. Epub 2017 Apr 28.
This study investigates the interdependent relationships between the stock market and economic news in the U.S. context. 2,440 economic tweets from Reuters and Bloomberg published in September 2015 were analyzed within short-term intervals (5 minutes, 20 minutes, and 1 hour) as well as 50 influential Bloomberg market coverage stories distributed via their terminals for the same period of time. Using Vector Auto Regression analyses, it was found that news volume, news relevance, and expert opinion in tweets seem to influence the fluctuation of the Dow Jones Industrial Average (DJI) positively, while economic news appears to respond to market fluctuation with less coverage, including fewer retweets, favorites, updates, or expert opinions conveyed. Inspecting the influential market stories by Bloomberg, the results imply that while Bloomberg terminals provide firsthand information on the market to professionals, tweets rather seem to offer follow-up reporting to the public. Furthermore, given that the effect of economic tweets on the DJI fluctuations was found to be strongest within longer time intervals (i.e., 1 hour), the findings imply that public traders need more time to evaluate information and to make a trading decision than professional investors.
本研究考察了美国背景下股票市场与经济新闻之间的相互依存关系。对2015年9月路透社和彭博社发布的2440条经济推文进行了短期（5分钟、20分钟和1小时）分析，并分析了同期通过彭博终端发布的50篇有影响力的彭博市场报道。通过向量自回归分析发现，推文中的新闻量、新闻相关性和专家意见似乎对道琼斯工业平均指数（DJI）的波动有正向影响，而经济新闻似乎对市场波动的反应是报道较少，包括转发、点赞、更新或传达的专家意见较少。通过检查彭博社有影响力的市场报道，结果表明，虽然彭博终端为专业人士提供了市场的第一手信息，但推文似乎更像是向公众提供后续报道。此外，鉴于发现经济推文对DJI波动的影响在较长时间间隔（即1小时）内最强，研究结果表明，与专业投资者相比，公众交易者需要更多时间来评估信息并做出交易决策。
