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2015 Fiscal Year Final Research Report

Study on relations between social media and stock markets

Research Project

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Project/Area Number 25380481
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Management
Research InstitutionTokyo City University

Principal Investigator

Umehara Eiichi  東京都市大学, メディア学部, 教授 (00645426)

Co-Investigator(Kenkyū-buntansha) SUWA Hirohiko  奈良先端科学技術大学院大学, 情報科学研究科, 助教 (70447580)
OGAWA Yuki  立命館大学, 情報理工学部, 助教 (40625985)
Project Period (FY) 2013-04-01 – 2016-03-31
Keywordsソーシャルメディア / 株式市場 / 自然言語処理 / 機械学習 / 経営情報
Outline of Final Research Achievements

We analyzed the relationship of Yahoo! stock BBS and the stock market. The First, I found a new factor for explaining the stock returns. We calculated the term frequency (TF / IDF) using a natural language processing, and extracted factors using a principal component analysis. As a result, we could extract 3 factors (the investment strategy, the stock holdings, and the financial economy). The second, we analyzed the relationship between Nikkei Stock Average Volatility Index (VIX) and Yahoo! Stock BBS. We applied a topics analysis (Latent Dirichlet Allocations) to messages in the stock BBS. We found a correlation between the posted rate for each topic and VIX. The Third, we analyzed a relation between Twitter and Viewing rate in midnight TV anime programs using our method developed in this study. We found that there is a significant correlation between the number of messages posted on Air and the number of negative words in the tweets on Air, and next week viewing rates.

Free Research Field

経営情報

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Published: 2017-05-10   Modified: 2017-05-22  

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