Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/25919 |
Resumo: | Sentiments play an important role in justifying economic actions and are typically presented as being a modern incarnation of expectations that influence financial markets, whether they be of a Keynesian or other type. For the case of the São Paulo Stock Market Index (IBovespa), this paper investigates whether sentiments, as publically expressed in specialised media, represent a covariate variable which influences stock market returns, and also how market dynamics evolve through time, especially in times of major shocks or recessions. In this study we use a network approach to relate the evolution of asset returns to a sentiments index. Daily data from IBovespa and a Thomson Reuters MarketPsych index are used as fair indicators of the evolution of the Brazilian economy from 2007 to 2015. We prove that changes in market prices affect news more than the reverse. |
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Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its moodMarket SentimentsStock MarketsBovespaMarketPsycBrazilSentiments play an important role in justifying economic actions and are typically presented as being a modern incarnation of expectations that influence financial markets, whether they be of a Keynesian or other type. For the case of the São Paulo Stock Market Index (IBovespa), this paper investigates whether sentiments, as publically expressed in specialised media, represent a covariate variable which influences stock market returns, and also how market dynamics evolve through time, especially in times of major shocks or recessions. In this study we use a network approach to relate the evolution of asset returns to a sentiments index. Daily data from IBovespa and a Thomson Reuters MarketPsych index are used as fair indicators of the evolution of the Brazilian economy from 2007 to 2015. We prove that changes in market prices affect news more than the reverse.ElsevierRepositório da Universidade de LisboaAraújo, TanyaEleutério, SamuelLouçã, Francisco2022-11-04T16:15:00Z20182018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25919engAraújo, Tanya; Samuel Eleutério and Francisco Louçã.(2018). “Do sentiments influence market dynamics? A reconstruction of the Brazilian stock market and its mood”.Physica A - Statistical Mechanics and its Application, Vol. 505: pp. 1139-1149.0378-437110.1016/j.physa.2018.04.045info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-19T01:31:29Zoai:www.repository.utl.pt:10400.5/25919Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:39.073158Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood |
title |
Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood |
spellingShingle |
Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood Araújo, Tanya Market Sentiments Stock Markets Bovespa MarketPsyc Brazil |
title_short |
Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood |
title_full |
Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood |
title_fullStr |
Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood |
title_full_unstemmed |
Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood |
title_sort |
Do sentiments influence market dynamics? : A reconstruction of the Brazilian stock market and its mood |
author |
Araújo, Tanya |
author_facet |
Araújo, Tanya Eleutério, Samuel Louçã, Francisco |
author_role |
author |
author2 |
Eleutério, Samuel Louçã, Francisco |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Araújo, Tanya Eleutério, Samuel Louçã, Francisco |
dc.subject.por.fl_str_mv |
Market Sentiments Stock Markets Bovespa MarketPsyc Brazil |
topic |
Market Sentiments Stock Markets Bovespa MarketPsyc Brazil |
description |
Sentiments play an important role in justifying economic actions and are typically presented as being a modern incarnation of expectations that influence financial markets, whether they be of a Keynesian or other type. For the case of the São Paulo Stock Market Index (IBovespa), this paper investigates whether sentiments, as publically expressed in specialised media, represent a covariate variable which influences stock market returns, and also how market dynamics evolve through time, especially in times of major shocks or recessions. In this study we use a network approach to relate the evolution of asset returns to a sentiments index. Daily data from IBovespa and a Thomson Reuters MarketPsych index are used as fair indicators of the evolution of the Brazilian economy from 2007 to 2015. We prove that changes in market prices affect news more than the reverse. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018 2018-01-01T00:00:00Z 2022-11-04T16:15:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/25919 |
url |
http://hdl.handle.net/10400.5/25919 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Araújo, Tanya; Samuel Eleutério and Francisco Louçã.(2018). “Do sentiments influence market dynamics? A reconstruction of the Brazilian stock market and its mood”.Physica A - Statistical Mechanics and its Application, Vol. 505: pp. 1139-1149. 0378-4371 10.1016/j.physa.2018.04.045 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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