Special Session 116: Interacting population on social, economic and ecological networks
Contents
This paper evaluates the lead lag relationship between news and asset return in a corporate news network. We build a sequence of daily corporate news network for the period 2005-2011 using companies of the STOXX 50 index as nodes; the weights of the edges are the sum of the number of news items with the same topic by every pair of companies identified by the topic model methodology. The STOXX 50 includes the top 50 European companies by level of capitalization.
We use the Brownian distance non-linear correlation and the Granger linear causality test to conduct a lead-lag analysis of asset return and news that define the above network. We observe that the Brownian distance correlation determines relationships similar to those identified by the linear Granger causality test, and it also uncovers additional non-linear relationships between news and assets return.