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Trading strategy of a stock index based on the frequency of news releases for listed companies

Author

Listed:
  • Yoshifumi Tahira

    (Chuo University Graduate School of Science and Engineering)

  • Takayuki Mizuno

    (PRESTO Japan Science and Technology Agency)

Abstract

The browsing frequency of Wikipedia pages for companies listed in the Dow Jones Industrial Average (DJIA) has been shown to be related to future DJIA changes. The number of Wikipedia page views increases after new information for these companies is released. Therefore, the frequency of listed companies’ news releases often reflects future stock market conditions. We show that the trading strategy performance of a stock index based on the frequency of news releases is better than that of a trading strategy that randomly buys or sells its stock index. When the number of news articles for companies listed on the NYSE and NASDAQ increases/decreases in a week, the Standard & Poor’s 500 index (S&P500 index) tends to fall/rise the following week. In particular, the trading strategy performance using news articles for the business sector is good. We confirmed these characteristics for the period of December 2007 to April 2012.

Suggested Citation

  • Yoshifumi Tahira & Takayuki Mizuno, 2016. "Trading strategy of a stock index based on the frequency of news releases for listed companies," Evolutionary and Institutional Economics Review, Springer, vol. 13(2), pages 437-444, December.
    • Handle: RePEc:spr:eaiere:v:13:y:2016:i:2:d:10.1007_s40844-016-0054-1
    DOI: 10.1007/s40844-016-0054-1
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    References listed on IDEAS

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    More about this item

    Keywords

    Econophysics; Stock market; Business news; Exogenous shock;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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