Cohesiveness in financial news and its relation to market volatility

Matija Piškorec; Nino Antulov-Fantulin; Petra Kralj Novak; Igor Mozetiä; Miha Grär; Irena Vodenska; Tomislav Šmuc

doi:10.1038/srep05038

Cohesiveness in financial news and its relation to market volatility

Matija Piškorec
, Nino Antulov-Fantulin
, Petra Kralj Novak
, Igor Mozetiä
, Miha Grär
, Irena Vodenska
, Tomislav Šmuc^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract (may include machine translation)

Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.

Original language	English
Article number	5038
Journal	Scientific Reports
Volume	4
DOIs	https://doi.org/10.1038/srep05038
State	Published - 22 May 2014
Externally published	Yes

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10.1038/srep05038License: CC BY-NC-SA

Kralj-Novak-Petra3_2014Publisher version, 1.76 MBLicense: CC BY-NC-SA

Cite this

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title = "Cohesiveness in financial news and its relation to market volatility",

abstract = "Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.",

author = "Matija Pi{\v s}korec and Nino Antulov-Fantulin and Novak, \{Petra Kralj\} and Igor Mozeti{\"a} and Miha Gr{\"a}r and Irena Vodenska and Tomislav {\v S}muc",

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T1 - Cohesiveness in financial news and its relation to market volatility

AU - Piškorec, Matija

AU - Antulov-Fantulin, Nino

AU - Novak, Petra Kralj

AU - Mozetiä, Igor

AU - Grär, Miha

AU - Vodenska, Irena

AU - Šmuc, Tomislav

PY - 2014/5/22

Y1 - 2014/5/22

N2 - Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.

AB - Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.

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DO - 10.1038/srep05038

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SN - 2045-2322

VL - 4

JO - Scientific Reports

JF - Scientific Reports

M1 - 5038

ER -

Cohesiveness in financial news and its relation to market volatility

Abstract (may include machine translation)

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News Cohesiveness: an Indicator of Systemic Risk in Financial Markets

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