Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen
Author-Workplace-Name: Adjunct Professor Centre for Applied Financial Studies, UniSA, and Visiting Professor, School of Mathematics 
	and Statistics, University of Sydney.
Author-Name:
 Michael McAleer
Author-Workplace-Name: Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Author-Name: Abhay K. Singh
Author-Workplace-Name: School of Business, Edith Cowan University, Perth, Australia.
Title: An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
Abstract: This paper features an analysis of the relationship between the DOW JONES Industrial Average Index (DJIA) and a sentiment 
	news series using daily data obtained from the Thomson Reuters News Analytics (TRNA)1 provided by SIRCA (The Securities 
	Industry Research Centre of the Asia Pacic). The recent growth in the availability of on-line financial news sources such as 
	internet news and social media sources provides instantaneous access to financial news. Various commercial agencies have 
	started developing their own filtered financial news feeds which are used by investors and traders to support their 
	algorithmic trading strategies. Thomson Reuters News Analytics (TRNA)2 is one such data set. In this study we use the TRNA 
	data set to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index component 
	companies. We use these daily DJIA market sentiment scores to study the relationship between financial news sentiment scores 
	and the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI)	statistics permit an 
	analysis of the amount of information within the sentiment series, its relationship to the DJIA and an indication of how the 
	relationship changes over time.
Classification-JEL: C29, G12, G14.
Keywords: DJIA, Sentiment, Entropy, TRNA, Information.
Length: 23 pages 
Creation-Date: 2016-12
Number: 2017-01
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1701.txt
File-URL: https://eprints.ucm.es/id/eprint/40902/1/1701.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1701