Is stock BBS content correlated with the stock market? — A Japanese case

Author

Maruyama, Ken ; Suwa, Hirohiko ; Umehara, Eiichi ; Ohta, Toshizumi

Author_Institution

Next Solutions Inc., Tokyo, Japan

fYear

2009

fDate

11-14 Oct. 2009

Firstpage

4601

Lastpage

4606

Abstract

We analyze the relations between the stock market and a stock bulletin board system (BBS) in Japan. Previous studies in the USA found that the characteristics of messages posted on stock BBSs can predict market volatility and trading volume. We develop hypotheses based on the results of those analyses and apply statistical analysis to the data about companies mentioned in a large number of messages posted on the Yahoo! stock message board in Japan in 2005-2006. We analyze the contents of these messages using natural language processing. We find a significant correlation between the number of postings and market volatility and trading volume, and also find significant correlation between the amount of bullish and bearish opinion and the stock return.

Keywords

learning (artificial intelligence); natural language processing; statistical analysis; stock markets; support vector machines; Japan; Yahoo! stock message board; machine learning; market volatility; natural language processing; statistical analysis; stock bulletin board system; stock market; stock return; support vector machine; trading volume; Cybernetics; Discussion forums; Economic forecasting; Information analysis; Information systems; Internet; Natural language processing; Statistical analysis; Stock markets; USA Councils; machine learning; natural language processing; stock BBS; stock market; support vector machine;

fLanguage

English

Publisher

ieee

Conference_Titel

Systems, Man and Cybernetics, 2009. SMC 2009. IEEE International Conference on

Conference_Location

San Antonio, TX

ISSN

1062-922X

Print_ISBN

978-1-4244-2793-2

Electronic_ISBN

1062-922X

Type

conf

DOI

10.1109/ICSMC.2009.5346768

Filename

5346768