日次データを用いた市場センチメント・インデックスの構築と株価説明力の分析

抄録

This study analyzes the sentiment of the Japanese economy that might appear in daily news articles. To quantify such a sentiment, we created an index that accounts for the frequency of occurrence of the words that affirmatively or negatively describe the current economic situation. Using articles taken from the Nikkei, we counted the numbers of "positive" as well as "negative" words in the articles. Constructing a daily summary index, we then conducted statistical analysis to examine correlations between the sentiment index and Tokyo Stock Exchange prices. One of our interesting findings is that the index significantly predicts stock prices of three day ahead.