The Relationship between Sentiment and Risk in Financial Markets
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | BAR - Brazilian Administration Review |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922018000100301 |
Resumo: | Abstract This article estimates association coefficients between measures of market sentiment and risk in the U.S., German and Chinese markets. In terms of risk, four measures were considered: standard deviation, value at risk, expected shortfall and shortfall deviation risk. For market sentiment, data was collected using the Psych Signal technology, which is based on the behavior of investors on social networks. The results indicate significant statistical associations, with the direction of association having financial meaning. Moreover, the empirical findings are valid for all risk measurements. The results are in keeping with the Prospect Theory, since in moments when the sentiment indicates low liquidity (a negative value for the difference between Bullish and Bearish Intensities) investors try to reduce the negotiation volume, which has a positive impact on risk. On the other hand, under the inverted scenario, when sentiment indicates high liquidity, there is an increase in the negotiation volume and a consequent decrease in risk. This article is important because its observations of market sentiment as measured by social media data show a consistent relationship with measures of financial risk. |
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The Relationship between Sentiment and Risk in Financial Marketsrisk managementmeasures of riskmarket sentimentbehavioral financeAbstract This article estimates association coefficients between measures of market sentiment and risk in the U.S., German and Chinese markets. In terms of risk, four measures were considered: standard deviation, value at risk, expected shortfall and shortfall deviation risk. For market sentiment, data was collected using the Psych Signal technology, which is based on the behavior of investors on social networks. The results indicate significant statistical associations, with the direction of association having financial meaning. Moreover, the empirical findings are valid for all risk measurements. The results are in keeping with the Prospect Theory, since in moments when the sentiment indicates low liquidity (a negative value for the difference between Bullish and Bearish Intensities) investors try to reduce the negotiation volume, which has a positive impact on risk. On the other hand, under the inverted scenario, when sentiment indicates high liquidity, there is an increase in the negotiation volume and a consequent decrease in risk. This article is important because its observations of market sentiment as measured by social media data show a consistent relationship with measures of financial risk.ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração2018-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922018000100301BAR - Brazilian Administration Review v.15 n.1 2018reponame:BAR - Brazilian Administration Reviewinstname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)instacron:ANPAD10.1590/1807-7692bar2018170055info:eu-repo/semantics/openAccessParaboni,Ana LuizaRighi,Marcelo BruttiVieira,Kelmara MendesSilveira,Vinícius Girardi daeng2018-03-26T00:00:00Zoai:scielo:S1807-76922018000100301Revistahttp://www.scielo.br/scielo.php?script=sci_serial&pid=1807-7692&lng=pt&nrm=isohttps://old.scielo.br/oai/scielo-oai.php||bar@anpad.org.br1807-76921807-7692opendoar:2018-03-26T00:00BAR - Brazilian Administration Review - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)false |
dc.title.none.fl_str_mv |
The Relationship between Sentiment and Risk in Financial Markets |
title |
The Relationship between Sentiment and Risk in Financial Markets |
spellingShingle |
The Relationship between Sentiment and Risk in Financial Markets Paraboni,Ana Luiza risk management measures of risk market sentiment behavioral finance |
title_short |
The Relationship between Sentiment and Risk in Financial Markets |
title_full |
The Relationship between Sentiment and Risk in Financial Markets |
title_fullStr |
The Relationship between Sentiment and Risk in Financial Markets |
title_full_unstemmed |
The Relationship between Sentiment and Risk in Financial Markets |
title_sort |
The Relationship between Sentiment and Risk in Financial Markets |
author |
Paraboni,Ana Luiza |
author_facet |
Paraboni,Ana Luiza Righi,Marcelo Brutti Vieira,Kelmara Mendes Silveira,Vinícius Girardi da |
author_role |
author |
author2 |
Righi,Marcelo Brutti Vieira,Kelmara Mendes Silveira,Vinícius Girardi da |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Paraboni,Ana Luiza Righi,Marcelo Brutti Vieira,Kelmara Mendes Silveira,Vinícius Girardi da |
dc.subject.por.fl_str_mv |
risk management measures of risk market sentiment behavioral finance |
topic |
risk management measures of risk market sentiment behavioral finance |
description |
Abstract This article estimates association coefficients between measures of market sentiment and risk in the U.S., German and Chinese markets. In terms of risk, four measures were considered: standard deviation, value at risk, expected shortfall and shortfall deviation risk. For market sentiment, data was collected using the Psych Signal technology, which is based on the behavior of investors on social networks. The results indicate significant statistical associations, with the direction of association having financial meaning. Moreover, the empirical findings are valid for all risk measurements. The results are in keeping with the Prospect Theory, since in moments when the sentiment indicates low liquidity (a negative value for the difference between Bullish and Bearish Intensities) investors try to reduce the negotiation volume, which has a positive impact on risk. On the other hand, under the inverted scenario, when sentiment indicates high liquidity, there is an increase in the negotiation volume and a consequent decrease in risk. This article is important because its observations of market sentiment as measured by social media data show a consistent relationship with measures of financial risk. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-01-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922018000100301 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922018000100301 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/1807-7692bar2018170055 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração |
publisher.none.fl_str_mv |
ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração |
dc.source.none.fl_str_mv |
BAR - Brazilian Administration Review v.15 n.1 2018 reponame:BAR - Brazilian Administration Review instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) instacron:ANPAD |
instname_str |
Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
instacron_str |
ANPAD |
institution |
ANPAD |
reponame_str |
BAR - Brazilian Administration Review |
collection |
BAR - Brazilian Administration Review |
repository.name.fl_str_mv |
BAR - Brazilian Administration Review - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
repository.mail.fl_str_mv |
||bar@anpad.org.br |
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1754209124124459008 |