Constructing Media-based Enterprise Networks for Stock Market Risk Analysis

Authors

Rong Xing, Southwestern University of Finance and Economics, ChinaFollow
Shengxin Dong, Southwestern University of Finance and Economics, ChinaFollow
Qinyu Wang, Citigroup Services and Technology (China) Limited, ChinaFollow
Qing Li, Southwestern University of Finance and Economics, ChinaFollow
Xubin Luo, Southwestern University of Finance and Economics, ChinaFollow
Jiang Duan, Southwestern University of Finance and Economics, ChinaFollow

Corresponding Author

Rong Xing

Document Type

Article

Abstract

Stock comovement analysis is essential to understand the mechanism of stock markets. Previous studies focus on the comovement from the perspectives of fundamentals or preferences of investors. In this article, we propose a framework to explore the comovements of stocks in terms of their relationships in Web media. This is achieved by constructing media-based enterprise networks in terms of the co-exposure in news reports of stocks and mutual attentions among them. Our experiments based on CSI 300 listed firms show the significant comovements of stocks brought out by their behaviors in Web media. Furthermore, utilizing media based enterprise networks can help us identify the most influential firms which can stir up the stock markets.

Recommended Citation

Xing, Rong; Dong, Shengxin; Wang, Qinyu; Li, Qing; Luo, Xubin; and Duan, Jiang, "Constructing Media-based Enterprise Networks for Stock Market Risk Analysis" (2017). ICEB 2017 Proceedings (Dubai, UAE). 8.
https://aisel.aisnet.org/iceb2017/8