IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Temporal and Cross Correlations in Business News

  • Takayuki Mizuno

    (University of Tsukuba)

  • Kazumasa Takei

    (The Norinchukin Bank)

  • Takaaki Ohnishi

    (Canon Institute for Global Studies)

  • Tsutomu Watanabe

    (University of Tokyo)

Registered author(s):

    We empirically investigate temporal and cross correlations in the frequency of news reports on companies, using a unique dataset with more than 100 million news articles reported in English by around 500 press agencies worldwide for the period 2003-2009. We find, first, that the frequency of news reports on a company does not follow a Poisson process; instead, it exhibits long memory with a positive autocorrelation for more than one year. Second, we find that there exist significant correlations in the frequency of news across companies. On a daily or longer time scale, the frequency of news is governed by external dynamics, while it is governed by internal dynamics on a time scale of minutes. These two findings indicate that the frequency of news on companies has similar statistical properties as trading volumes or price volatility in stock markets, suggesting that the flow of information through company news plays an important role in price ynamics in stock markets.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.carf.e.u-tokyo.ac.jp/pdf/workingpaper/fseries/273.pdf
    Download Restriction: no

    Paper provided by Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo in its series CARF F-Series with number CARF-F-262.

    as
    in new window

    Length: 13 pages
    Date of creation: Dec 2011
    Date of revision:
    Handle: RePEc:cfi:fseres:cf262
    Contact details of provider: Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033
    Phone: +81-3-5841-0682
    Web page: http://www.carf.e.u-tokyo.ac.jp/english/
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:cfi:fseres:cf262. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.