IDEAS home Printed from https://ideas.repec.org/a/gam/jrisks/v13y2025i3p50-d1607495.html

Relationship Between Japanese Stock Market Behavior and Category-Based News

Author

Listed:
  • Jun Nakayama

    (Financial Strategy Program, Hitotsubashi University Business School, Tokyo 101-8439, Japan
    Sumitomo Mitsui Banking Corporation, Tokyo 100-0005, Japan)

  • Daisuke Yokouchi

    (Financial Strategy Program, Hitotsubashi University Business School, Tokyo 101-8439, Japan)

Abstract

This study investigates the relationship between news delivered via the QUICK terminal and stock market behavior. Specifically, through an evaluation of the performance of investment strategies that utilize news index created based on its scores indicating positive or negative sentiment, we examine whether index construction that takes into account the content of individual news items contributes to improved predictive power with regard to stock prices. We verify the performance of this investment strategy based on signal indicators derived from news indices focusing on short-term trends using time-series decomposition. After refining the news indicators based on news categories, we observe an improvement in the strategy’s performance, demonstrating that the value of news varies across different categories and the importance of considering the content and meaning of text news.

Suggested Citation

  • Jun Nakayama & Daisuke Yokouchi, 2025. "Relationship Between Japanese Stock Market Behavior and Category-Based News," Risks, MDPI, vol. 13(3), pages 1-29, March.
    • Handle: RePEc:gam:jrisks:v:13:y:2025:i:3:p:50-:d:1607495
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-9091/13/3/50/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-9091/13/3/50/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Paul C. Tetlock, 2011. "All the News That's Fit to Reprint: Do Investors React to Stale Information?," The Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1481-1512.
    2. Jun Nakayama & Daisuke Yokouchi, 2018. "Applying Time Series Decomposition to Construct Index-Tracking Portfolio," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(4), pages 341-352, December.
    3. Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
    4. Leland Bybee & Bryan Kelly & Yinan Su & Tarun Ramadorai, 2023. "Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text," The Review of Financial Studies, Society for Financial Studies, vol. 36(12), pages 4759-4787.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jian Chen & Guohao Tang & Guofu Zhou & Wu Zhu, 2025. "ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?," Papers 2502.10008, arXiv.org.
    2. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2022. "Media-expressed tone, option characteristics, and stock return predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    3. Goldman, Eitan & Martel, Jordan & Schneemeier, Jan, 2022. "A theory of financial media," Journal of Financial Economics, Elsevier, vol. 145(1), pages 239-258.
    4. Liebmann, Michael & Orlov, Alexei G. & Neumann, Dirk, 2016. "The tone of financial news and the perceptions of stock and CDS traders," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 159-175.
    5. Shams, Syed & Bose, Sudipta & Sheikhbahaei, Ali, 2024. "Pricing media sentiment: Evidence from global mergers and acquisitions," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
    6. Juanjuan Wang & Shujie Zhou & Wentong Liu & Lin Jiang, 2024. "An ensemble model for stock index prediction based on media attention and emotional causal inference," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1998-2020, September.
    7. Di Giuli, Alberta & Laux, Paul A., 2022. "The effect of media-linked directors on financing and external governance," Journal of Financial Economics, Elsevier, vol. 145(2), pages 103-131.
    8. Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C., 2012. "How are shorts informed?," Journal of Financial Economics, Elsevier, vol. 105(2), pages 260-278.
    9. Ross Koval & Nicholas Andrews & Xifeng Yan, 2025. "Context-Aware Language Models for Forecasting Market Impact from Sequences of Financial News," Papers 2509.12519, arXiv.org.
    10. John Garcia, 2024. "Herding the crowds: how sentiment affects crowdsourced earnings estimates," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 38(3), pages 331-370, September.
    11. Ting‐Chiao Huang & Yi‐Hung Lin & Daniel Chai & Stephanie Hairston, 2025. "Are auditors insulated to positive client news? Evidence from audit fees and going‐concern opinions," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 65(3), pages 2339-2386, September.
    12. John Garcia, 2021. "Analyst herding and firm-level investor sentiment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 461-494, December.
    13. Frijns, Bart & Huynh, Thanh D., 2018. "Herding in analysts’ recommendations: The role of media," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 1-18.
    14. Roberto Casarin & Flaminio Squazzoni, 2012. "Financial press and stock markets in times of crisis," Working Papers 2012_04, Department of Economics, University of Venice "Ca' Foscari".
    15. Pascal Kieren & Martin Weber, 2025. "Expectation Formation Under Uninformative Signals," Management Science, INFORMS, vol. 71(6), pages 5123-5141, June.
    16. Van Ness, Bonnie & Van Ness, Robert & Yildiz, Serhat, 2021. "Private information in trades, R2, and large stock price movements," Journal of Banking & Finance, Elsevier, vol. 131(C).
    17. Huang, Tzu-Lun, 2018. "The puzzling media effect in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 129-146.
    18. Linying Lv, 2025. "Do Sell-side Analyst Reports Have Investment Value?," Papers 2502.20489, arXiv.org, revised Aug 2025.
    19. Chi, Yeguang & El-Jahel, Lina & Vu, Thanh, 2024. "Novel and old news sentiment in commodity futures markets," Energy Economics, Elsevier, vol. 140(C).
    20. Noh, Suzie & So, Eric C. & Verdi, Rodrigo S., 2021. "Calendar rotations: A new approach for studying the impact of timing using earnings announcements," Journal of Financial Economics, Elsevier, vol. 140(3), pages 865-893.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:13:y:2025:i:3:p:50-:d:1607495. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager The email address of this maintainer does not seem to be valid anymore. Please ask MDPI Indexing Manager to update the entry or send us the correct address (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.