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Sentiment analysis for the Japanese stock market

Author

Listed:
  • Hiroshi Ishijima
  • Takuro Kazumi
  • Akira Maeda

Abstract

This study analyses the sentiment towards the Japanese economy that might appear in daily news articles between 1 January 2007 and 30 September 2012. To quantify such a sentiment, we created an index that accounts for the frequency of occurrence of words that affirmatively or negatively describe the current economic situation. Articles were taken from the Nikkei, a popular newspaper in Japan comparable with the Wall Street Journal in the USA. Using a cutting-edge text mining technique, we counted the numbers of 'positive' as well as 'negative' words in the newspaper articles. Constructing a daily summary index, we then performed statistical analysis to examine correlations between the sentiment index and Tokyo Stock Exchange prices. One interesting finding is that the index significantly predicts stock prices of three days in advance.

Suggested Citation

  • Hiroshi Ishijima & Takuro Kazumi & Akira Maeda, 2015. "Sentiment analysis for the Japanese stock market," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 17(3), pages 237-255.
    • Handle: RePEc:ids:gbusec:v:17:y:2015:i:3:p:237-255
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    Citations

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    Cited by:

    1. Ngoc Bao Vuong, Yoshihisa Suzuki, 2020. "Does Fear has Stronger Impact than Confidence on Stock Returns?The Case of Asia-Pacific Developed Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67, pages 157-175, July.
    2. Ngoc Bao Vuong & Yoshihisa Suzuki, 2020. "Does Fear has Stronger Impact than Confidence on Stock Returns? The Case of Asia-Pacific Developed Markets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(2), pages 157-175, June.

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