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Analyzing the Influence of Headline News on Credit Markets in Japan

  • Hiroaki Jotaki
  • Yasuo Yamashita
  • Satoru Takahashi
  • Hiroshi Takahashi
Chapter
Part of the Agent-Based Social Systems book series (ABSS, volume 12)

Abstract

This paper analyzes the influence of text information on credit markets in Japan, focusing on headline news, a source of information that has immediate influence on the money market and also which is regarded as an important source of information when making investment decisions. In this research, we employ an automatic text classification algorithm in order to classify the headline news into several categories. As a result of intensive analysis, we made the following findings (Antweiler W, Frank MZ J Financ 59:1259–1294, 2004): it is possible to build a headline news algorithm to an accuracy of 80% (Ben-Saud T Adopting a liability-led strategy. Pension management, April, pp 34–35, 2005); headline news has an influence on corporate bond spreads in Japan after items of news become public (Black F, Cox J J Financ, 31:351–367, 1976). The reaction of CDS spread is different from that of corporate bond spread even though both spreads relate to credit risk. These results are suggestive from both academic and practical viewpoints.

Keywords

Fixed income Credit risk Asset management Natural language processing Information technology Artificial intelligence 

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Copyright information

© Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  • Hiroaki Jotaki
    • 1
  • Yasuo Yamashita
    • 1
    • 2
  • Satoru Takahashi
    • 1
  • Hiroshi Takahashi
    • 2
  1. 1.Sumitomo Mitsui Trust BankChiyoda-ku, TokyoJapan
  2. 2.Keio University, Graduate School of Business AdministrationKohoku-ku, YokohamaJapan

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