Is Stock BBS Content Correlated with the Stock Market? A Japanese Case
نویسندگان
چکیده
We analyze the relations between the stock market and a stock bulletin board system (BBS) in Japan. Previous studies in the USA found that the characteristics of messages posted on stock BBSs can predict market volatility and trading volume. We develop hypotheses based on the results of those analyses and apply statistical analysis to the data about companies mentioned in a large number of messages posted on the Yahoo! stock message board in Japan in 2005–2006. We analyze the contents of these messages using natural language processing. We find a significant correlation between the number of postings and market volatility and trading volume, and also find significant correlation between the amount of bullish opinion and the stock return. Keywords—stock market, stock BBS, support vector machine, natural language processing, machine learning
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