Evaluation of the Effect of News Sentiment on Stock Market and its Application to Investment Strategy

Abstract

In this research, we examine how the news on Japanese listed companies affects the stock market. Specifically, we use a lot of news information to clarify what kind of attribute news influences the stock price of the company. Our results confirm that the sentiment that judged from the news by the polar dictionary has a certain influence on the stock market. We also confirm effectiveness of the investment strategy using the news sentiment. By handling a large amount of information mechanically, investors will be able to conduct more efficient investment behavior.