Is Content of Stock BBS related to the Stock Index?

Abstract

We are to analyze relations between stock index and stock BBS. Previous studies in US find that the stock BBS posting can predict market volatility and trading volume. We will develop hypotheses based on the results of these analyses, and apply statistical analysis to the data of companies that are observed the large amount of message posted in Yahoo! stock topics in 2005-2006. Based on the messages, we will analyze the contents of posting using natural language processing and machine learning. In concerning future stock return, the number of posting is significantly correlated with the volatility and the trading volume, and that significant correlations are observed between the amount of bullish opinion and the stock return.