Proceedings of the 2019 3rd International Seminar on Education, Management and Social Sciences (ISEMSS 2019)

Recognization and Analysis of Key News Event for Chinese Stock Market Based on Change Point Analysis and Event Study

Authors
Li Qingyang, Wang Yue, Wu Jiachen
Corresponding Author
Wang Yue
Available Online September 2019.
DOI
https://doi.org/10.2991/isemss-19.2019.56How to use a DOI?
Keywords
Changepoint Analysis, Event Study, CSI 300 Index.
Abstract

We used the automatic keyword extraction algorithm to identify the key events of the obtained news reports and get 45 key events. We further defined the method of calculating the relevance of events, applying the lexical field theory, and build an event correlation network. Then we used change point analysis to extract the stage change of the market index. The common parts of the various algorithm frameworks and research objects are regarded as reliable change points, and the time of a change point is used to screen the 45 key events, and the seven majors in 2017 are obtained. Finally, we use event research to analyze the impact of these seven key events on the market's yield and the differences between these effects. optional.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

Volume Title
Proceedings of the 2019 3rd International Seminar on Education, Management and Social Sciences (ISEMSS 2019)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
September 2019
ISBN
978-94-6252-792-8
ISSN
2352-5398
DOI
https://doi.org/10.2991/isemss-19.2019.56How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Li Qingyang
AU  - Wang Yue
AU  - Wu Jiachen
PY  - 2019/09
DA  - 2019/09
TI  - Recognization and Analysis of Key News Event for Chinese Stock Market Based on Change Point Analysis and Event Study
BT  - Proceedings of the 2019 3rd International Seminar on Education, Management and Social Sciences (ISEMSS 2019)
PB  - Atlantis Press
SP  - 293
EP  - 296
SN  - 2352-5398
UR  - https://doi.org/10.2991/isemss-19.2019.56
DO  - https://doi.org/10.2991/isemss-19.2019.56
ID  - Qingyang2019/09
ER  -