The relationship between sentiment and risk in financial markets
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Data de Publicação: | 2018 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UFRGS |
Texto Completo: | http://hdl.handle.net/10183/175000 |
Resumo: | 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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Paraboni, Ana LuizaRighi, Marcelo BruttiVieira, Kelmara MendesSilveira, Vinícius Girardi da2018-04-26T02:32:30Z20181807-7692http://hdl.handle.net/10183/175000001065900This 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.application/pdfengBAR. Brazilian Administration Review. Curitiba, PR. Vol. 15, n.1 (jan./mar. 2018), 15 f.Gerenciamento de riscosAvaliação de riscoFinanças comportamentaisRisk managementMeasures of riskMarket sentimentBehavioral financeThe relationship between sentiment and risk in financial marketsinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/otherinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRGSinstname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSORIGINAL001065900.pdf001065900.pdfTexto completo (inglês)application/pdf529654http://www.lume.ufrgs.br/bitstream/10183/175000/1/001065900.pdf5bdc12d1b5925865405ce0f774db31feMD51TEXT001065900.pdf.txt001065900.pdf.txtExtracted Texttext/plain38975http://www.lume.ufrgs.br/bitstream/10183/175000/2/001065900.pdf.txta879b41ca362fedbdd6245c929ffa546MD52THUMBNAIL001065900.pdf.jpg001065900.pdf.jpgGenerated Thumbnailimage/jpeg1305http://www.lume.ufrgs.br/bitstream/10183/175000/3/001065900.pdf.jpg1f4f120392420a1683352676eee1d599MD5310183/1750002018-10-22 09:27:57.473oai:www.lume.ufrgs.br:10183/175000Repositório de PublicaçõesPUBhttps://lume.ufrgs.br/oai/requestopendoar:2018-10-22T12:27:57Repositório Institucional da UFRGS - Universidade Federal do Rio Grande do Sul (UFRGS)false |
dc.title.pt_BR.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 Gerenciamento de riscos Avaliação de risco Finanças comportamentais 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 |
Gerenciamento de riscos Avaliação de risco Finanças comportamentais |
topic |
Gerenciamento de riscos Avaliação de risco Finanças comportamentais Risk management Measures of risk Market sentiment Behavioral finance |
dc.subject.eng.fl_str_mv |
Risk management Measures of risk Market sentiment Behavioral finance |
description |
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.accessioned.fl_str_mv |
2018-04-26T02:32:30Z |
dc.date.issued.fl_str_mv |
2018 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/other |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
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http://hdl.handle.net/10183/175000 |
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1807-7692 |
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001065900 |
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http://hdl.handle.net/10183/175000 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartof.pt_BR.fl_str_mv |
BAR. Brazilian Administration Review. Curitiba, PR. Vol. 15, n.1 (jan./mar. 2018), 15 f. |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
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