Study on relations between social media and stock markets

2015 Fiscal Year Final Research Report

• Project/Area Number: 25380481
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Management
• Research Institution: Tokyo 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