  We investigate the trading behavior of a large set of single investors
trading the highly liquid Nokia stock over the period 2003-2008 with the aim of
determining the relative role of endogenous and exogenous factors that may
affect their behavior. As endogenous factors we consider returns and
volatility, whereas the exogenous factors we use are the total daily number of
news and a semantic variable based on a sentiment analysis of news. Linear
regression and partial correlation analysis of data show that different
categories of investors are differently correlated to these factors.
Governmental and non profit organizations are weakly sensitive to news and
returns or volatility, and, typically, they are more correlated with the former
than with the latter. Households and companies, on the contrary, are very
sensitive to both endogenous and exogenous factors, and volatility and returns
are, on average, much more relevant than the number of news and sentiment,
respectively. Finally, financial institutions and foreign organizations are
intermediate between these two cases, in terms of both the total explanatory
power of these factors and their relative importance.
