Do news articles have an impact on trading? - Korean market studies with high frequency data

Sungjae Yoon, Aiko Suge, Hiroshi Takahashi

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Citation (Scopus)

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.

Original languageEnglish
Title of host publicationNew Frontiers in Artificial Intelligence - JSAI-isAI Workshops, JURISIN, SKL, AI-Biz, LENLS, AAA, SCIDOCA, kNeXI, Revised Selected Papers
PublisherSpringer Verlag
Pages129-139
Number of pages11
ISBN (Print)9783319937939
DOIs
Publication statusPublished - 2018 Jan 1
Event9th JSAI International Symposium on Artificial Intelligence, JSAI-isAI 2017 - Tsukuba, Japan
Duration: 2017 Nov 132017 Nov 15

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume10838 LNAI
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Other

Other9th JSAI International Symposium on Artificial Intelligence, JSAI-isAI 2017
CountryJapan
CityTsukuba
Period17/11/1317/11/15

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Keywords

  • Asset pricing
  • Big data analysis
  • Finance
  • High frequency trading data
  • Information economics

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)

Cite this

Yoon, S., Suge, A., & Takahashi, H. (2018). Do news articles have an impact on trading? - Korean market studies with high frequency data. In New Frontiers in Artificial Intelligence - JSAI-isAI Workshops, JURISIN, SKL, AI-Biz, LENLS, AAA, SCIDOCA, kNeXI, Revised Selected Papers (pp. 129-139). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 10838 LNAI). Springer Verlag. https://doi.org/10.1007/978-3-319-93794-6_9