The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset price...The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset prices and bubbles in a simplified framework that is similar to the DSSW （1990a） model. When the underlying asset is involved with a fundamental shock, noise traders will generally overreact to it, which creates an ＂overreaction risk＂. This kind of risk will make the asset prices more volatile, and even make up asset bubbles. Therefore, asset bubbles can be regarded as a psychological phenomenon, and are actually the results of the psychological changing process of noise traders.展开更多
This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate t...This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate this topic using sentiment indices,including news-based economic and consumer-based sentiments developed using different methods.We observed the role of sentiment as a reliable indicator of future bubbles for some metal commodities and found that bubbles were regularly concomi-tant with bearish sentiments for gold and platinum.Moreover,gold and palladium were the only commodities that experienced a bubble during the COVID-19 pandemic.Overall,our findings suggest inclusion of sentiment to the model that predicts the price bubbles of precious metals.展开更多
The mortgage loan has evolved from a local lending instrument into a major global security and its role is unparallel to other financial instruments in the process of financial globalization. This paper explains how t...The mortgage loan has evolved from a local lending instrument into a major global security and its role is unparallel to other financial instruments in the process of financial globalization. This paper explains how technology and financial innovation transformed the mortgage loan from a local security into a premier global security traded worldwide. It examines the fundamental flaws of this process and why it does not work in regards to mortgage lending and the re-securitization products that were created through financial innovation. The findings show that regulation was unable to keep pace with financial innovation, which created an environment where actors in the financial service sector were able to behave geographically irresponsibly by using information asymmetries to their advantage by par- ticipating in moral hazard activities and engaging in other immoral and unethical business practices that were centered around localized geography, which ultimately contributed to the global financial crisis. It also examines the roll of financial innovation in regard to the Lehman Brothers Mini-Bond in Hung and its role as a driving force behind China＇s newly emerging shadow banking sector. It concludes with a policy recommendation and its implication for China＇s continued economic development.展开更多
文摘The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset prices and bubbles in a simplified framework that is similar to the DSSW （1990a） model. When the underlying asset is involved with a fundamental shock, noise traders will generally overreact to it, which creates an ＂overreaction risk＂. This kind of risk will make the asset prices more volatile, and even make up asset bubbles. Therefore, asset bubbles can be regarded as a psychological phenomenon, and are actually the results of the psychological changing process of noise traders.
基金financed by United Arab Emirates University(Grand Number 31B135-UPAR-3-2020)。
文摘This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate this topic using sentiment indices,including news-based economic and consumer-based sentiments developed using different methods.We observed the role of sentiment as a reliable indicator of future bubbles for some metal commodities and found that bubbles were regularly concomi-tant with bearish sentiments for gold and platinum.Moreover,gold and palladium were the only commodities that experienced a bubble during the COVID-19 pandemic.Overall,our findings suggest inclusion of sentiment to the model that predicts the price bubbles of precious metals.
基金Under the auspices of International Centre for China Development Studies,the University of Hong Kong
文摘The mortgage loan has evolved from a local lending instrument into a major global security and its role is unparallel to other financial instruments in the process of financial globalization. This paper explains how technology and financial innovation transformed the mortgage loan from a local security into a premier global security traded worldwide. It examines the fundamental flaws of this process and why it does not work in regards to mortgage lending and the re-securitization products that were created through financial innovation. The findings show that regulation was unable to keep pace with financial innovation, which created an environment where actors in the financial service sector were able to behave geographically irresponsibly by using information asymmetries to their advantage by par- ticipating in moral hazard activities and engaging in other immoral and unethical business practices that were centered around localized geography, which ultimately contributed to the global financial crisis. It also examines the roll of financial innovation in regard to the Lehman Brothers Mini-Bond in Hung and its role as a driving force behind China＇s newly emerging shadow banking sector. It concludes with a policy recommendation and its implication for China＇s continued economic development.
