We start the data of your own relationship between financial reports and you will financial parece of your 29 firms that was indeed listed in the brand new Dow-jones Commercial Mediocre (DJIA) between 2 nd , a period of time wherein we have exchange regularity and rates data for the DJIA parts
Any kind of time onetime, new DJIA consists of 31 enterprises. not, Subscribers replaced Citigroup regarding the DJIA during the period of the investigation. On the calculations reported, we consider inventory investigation and development study both for ones companies gay hookup places in Portland. Full information on the company brands utilized in the fresh corpus research are given on the Additional Information (Table S1).
I investigate the partnership between demand for a friends in the information and you will need for a family regarding inventory markets
Carries getting companies listed in the fresh DJIA was exchanged from the Ny Stock market (NYSE), open ranging from 9:30 are and you may 4 pm New york day (for almost all of the year, 2:30 pm to help you nine pm London area day). We perform that it study and all of pursuing the analyses to possess trade weeks merely, excluding all the vacations and bank getaways.
In Figure 2, we take Bank of America as an example for this analysis and plot the number of daily mentions of “Bank of America” against daily transaction volume for Bank of America. We find that a greater number of daily mentions of “Bank of America” corresponds to a greater daily transaction volume for Bank of America stocks (? = 0.43, p < 0.001, Spearman's rank correlation).
Day-after-day level of mentions from “Financial from America” regarding Monetary Times and you can daily purchase volume to possess Lender away from America (BAC) carries.
We depict the correlation between the daily number of mentions of “Bank of America” and the daily transaction volume for Bank of America (BAC) stocks. We find that the daily number of mentions of “Bank of America” is positively correlated with the daily transaction volume for Bank of America (BAC) stocks (? = 0.43, p < 0.001, Spearman's rank correlation).
We extend this analysis to all 31 Dow Jones companies from this period. For each company, we calculate the Spearman’s rank correlation between the daily number of mentions of a company’s name in the Financial Times and the transaction volume of the corresponding company’s stocks (Figure 3). We analyze the distribution of Spearman’s rank correlation coefficients for all 31 companies. Whilst the strongest correlation is found for Bank of America, we find that overall, the correlation coefficients are significantly higher than zero (median correlation coefficient = 0.074; mean correlation coefficient = 0.100, W = 450, p < 0.001, Wilcoxon signed rank test). A greater number of mentions of a company in the news therefore corresponds to a greater transaction volume of a company's stocks. This suggests greater interest in a company in the news is related to greater interest in a company in the stock markets.
For each of the 31 companies that were listed in the Dow Jones Industrial Average between 2 nd , we plot the Spearman’s rank correlation between the daily number of mentions of a company’s name and the transaction volume of the corresponding company’s stockspanies are indicated using their ticker symbol, for which a full list can be found in the Supplementary Information (Table S1). We analyze the distribution of correlation coefficients and find that, overall, the correlation coefficients are significantly higher than zero (median correlation coefficient = 0.074; mean correlation coefficient = 0.100; W = 450, p < 0.001, Wilcoxon signed rank test). In other words, the daily number of mentions of a company's name is positively correlated with the daily transaction volume of a company's stocks.
