Motivated by recent financial crises significant research efforts have been
put into studying contagion effects and herding behaviour in financial markets.
Much less has been said about influence of financial news on financial markets.
We propose a novel measure of collective behaviour in financial news on the
Web, News Cohesiveness Index (NCI), and show that it can be used as a systemic
risk indicator. We evaluate the NCI on financial documents from large Web news
sources on a daily basis from October 2011 to July 2013 and analyse the
interplay between financial markets and financially related news. We
hypothesized that strong cohesion in financial news reflects movements in the
financial markets. Cohesiveness is more general and robust measure of systemic
risk expressed in news, than measures based on simple occurrences of specific
terms. Our results indicate that cohesiveness in the financial news is highly
correlated with and driven by volatility on the financial markets
