抄録
We analyze the stock index and stock BBS to determine risk factors caused by relationships between them. In our research, we find that stock BBS posting is associated with the stock index, and the stock BBS posting level is associated with stock return. We develop a hypothesis that stock BBS posting level is a risk factor on the basis of the results of these analyses. We apply statistical analyses to the data of companies about which a large amount of messages were posted on a Yahoo! stock topics in 2005 - 2006. As a result of our verification, we found that the stock BBS posting volume is a risk factor.
