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دسته بندی:
مدیریت دانش - knowledge management
سال انتشار:
2018
عنوان انگلیسی مقاله:
Can economic news predict Taiwan stock market returns?
ترجمه فارسی عنوان مقاله:
آیا می توان اخبار اقتصادی را پیش بینی کرد تا بازار سهام تایوان را پیش بینی کند؟
منبع:
Sciencedirect - Elsevier - Asia Pacific Management Review, Corrected proof. doi:10.1016/j.apmrv.2018.01.003
نویسنده:
George Guan-Ru Wu, Tony Chieh-Tse Hou*, Jin-Lung Lin
چکیده انگلیسی:
News reports have become an imperative conduit of public information. Several recent studies have used
news data from public media to investigate the impact of news on stock market returns. This study
analyses the usefulness of news for predicting stock returns in the Taiwan stock market. We employ text
mining of economic news, transform documents using a keyword matrix, and then convert the results
into news variables. Subsequently, together with other quantitative variables, we construct a fixed effect
model to investigate the behaviours of stock market returns in 20 subsectors from January 2008 to
December 2014. Empirical analysis reveals that the news variables provide useful information for pre
dicting Taiwan stock market returns, although the out-sample performance is only marginally improved.
We also discover an asymmetric effect of economic news for predicting stock market returns. The pre
diction accuracy is higher when the stock market is booming than when it is glooming.
Keywords: News ، Text mining ، Stock market sentiment ، Macroeconomic factors
قیمت: رایگان
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