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Exploring Relationship between Headline News Sentiment and Stock Return

机译：探索标题新闻情绪与股票回报之间的关系

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摘要

Information from news is an integral part of investment activity. Such information is widely available from online media platforms, in which we can obtain relatively easy thanks to the development of technology. Despite predicting future stock prices being a hard challenge, the availability of big data is able to support investment decisions. Any relevant news is deemed as a determinant factor for influencing the public decision making. The Efficient Market Hypothesis states that financial markets depend on the availability of information. Sentiment analysis act as assisting tool to support the sentiment classification process, which falls into positive or negative categories. The process uses Na?ve Bayes and Support Vector Machine method. We conduct the research to see the relationship of headlines news from 20 companies listed in the Indonesia LQ45 index (February 2013 - August 2018) and stock returns. This study is carried out by Spearman rank correlation in looking at the relationship between stock returns and headline news. The findings of the study indicates that there is a correlation between headline news and stock return.
机译：来自新闻的信息是投资活动的一个组成部分。此类信息广泛可从在线媒体平台获得，因为由于技术的开发，我们可以相对容易地获得。尽管预测未来的股票价格是一个艰苦的挑战，但大数据的可用性能够支持投资决策。任何相关新闻都被视为影响公共决策的决定因素。高效的市场假设指出金融市场取决于信息的可用性。情绪分析作为协助工具支持情绪分类过程，落入正面或负类。该过程使用Na ve Bayes并支持向量机方法。我们开展研究，了解印度尼西亚LQ45指数上市的20家公司的头条新闻的关系（2013年2月 - 2018年8月）和股票回报。这项研究由Spearman等级相关性在看股票回报和标题新闻之间的关系。该研究的结果表明，标题新闻与股票回报之间存在相关性。

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