The paper deals with the analysis of market sentiments in exchange rates which are of great interest to trading individuals and institutional investors. For example, an institutional investor or a trading individual m...The paper deals with the analysis of market sentiments in exchange rates which are of great interest to trading individuals and institutional investors. For example, an institutional investor or a trading individual makes better investments and minimizes losses when equipped with an understanding of market sentiments in weekly or monthly exchange returns. In the approach suggested here, a typical market sentiment is defined on the basis of the certain function of the mean and the standard error of the logarithm of the ratio of successive daily exchange rates. Based on this surmise, the market sentiments are classified into various states, whereby states are defined according to the perceptions of the market player. A multinomial probability model is built to capture the uncertainties in market sentiments. Two asymptotically distribution-free tests, namely the chi-square and the likelihood ratio test of goodness of fit for the hypothesis of the symmetry in market sentiments are suggested. Two different measures of market sentiments are proposed. The approach advocated here will be of interest to researchers, exchange rate traders and financial analysts. As an application of the proposed line of approach, we analyze weekly market sentiments that govern exchange rates of the major global currencies—EUR, GBP, SDR, YEN, ZAR, USD, data from 2001-2012. Some interesting conclusions are revealed based on the data analysis.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 electricity retail markets are evolving toward more competitive and customer-oriented. The deployment of smart meters and a wealth of new technologies create customers＇ eagerness for taking control of their elect...The electricity retail markets are evolving toward more competitive and customer-oriented. The deployment of smart meters and a wealth of new technologies create customers＇ eagerness for taking control of their electricity consumption. By being better-informed about the energy usage, people are encouraged to switch deals among existing suppliers or move to a new energy provider. Moreover, as customers are more socially interconnected, the Internet portals and social media become a place for discussion, comparison, and evaluation of the available offers. Unfortunately, in case of the energy sector there is a lack of understanding that such information, when taken into account and properly analyzed, can be a completely new and a powerful source of competitive advantage. In the paper, we introduce a solution that the use of quasi real-time automated sentiment analysis on the energy suppliers and the relevant aspects of their offers may enable energy companies to adapt quickly to changing circumstances, prevent potential customer churn, and harness new business opportunities.展开更多
This paper builds the structure of the vector autoregression( SVAR) model short-term constraints and studies the interactive mechanism of investor sentiment,monetary policy and stock market from 2008 to 2016. The resu...This paper builds the structure of the vector autoregression( SVAR) model short-term constraints and studies the interactive mechanism of investor sentiment,monetary policy and stock market from 2008 to 2016. The result finds that investor sentiment, currency liquidity and stock market gains a significant asymmetric effect. First,the interaction effects of investor sentiment and stock market are positive feedback mechanism, and investor sentiment significantly affects the stock market in the short term. Furthermore,monetary policy and stock market has a positive role in promoting each other. Finally, investor sentiment shows negative feedback mechanism of monetary policy.展开更多
文摘The paper deals with the analysis of market sentiments in exchange rates which are of great interest to trading individuals and institutional investors. For example, an institutional investor or a trading individual makes better investments and minimizes losses when equipped with an understanding of market sentiments in weekly or monthly exchange returns. In the approach suggested here, a typical market sentiment is defined on the basis of the certain function of the mean and the standard error of the logarithm of the ratio of successive daily exchange rates. Based on this surmise, the market sentiments are classified into various states, whereby states are defined according to the perceptions of the market player. A multinomial probability model is built to capture the uncertainties in market sentiments. Two asymptotically distribution-free tests, namely the chi-square and the likelihood ratio test of goodness of fit for the hypothesis of the symmetry in market sentiments are suggested. Two different measures of market sentiments are proposed. The approach advocated here will be of interest to researchers, exchange rate traders and financial analysts. As an application of the proposed line of approach, we analyze weekly market sentiments that govern exchange rates of the major global currencies—EUR, GBP, SDR, YEN, ZAR, USD, data from 2001-2012. Some interesting conclusions are revealed based on the data analysis.
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supported by the HPI Future SOC Lab and Tableau Software
文摘The electricity retail markets are evolving toward more competitive and customer-oriented. The deployment of smart meters and a wealth of new technologies create customers＇ eagerness for taking control of their electricity consumption. By being better-informed about the energy usage, people are encouraged to switch deals among existing suppliers or move to a new energy provider. Moreover, as customers are more socially interconnected, the Internet portals and social media become a place for discussion, comparison, and evaluation of the available offers. Unfortunately, in case of the energy sector there is a lack of understanding that such information, when taken into account and properly analyzed, can be a completely new and a powerful source of competitive advantage. In the paper, we introduce a solution that the use of quasi real-time automated sentiment analysis on the energy suppliers and the relevant aspects of their offers may enable energy companies to adapt quickly to changing circumstances, prevent potential customer churn, and harness new business opportunities.
文摘This paper builds the structure of the vector autoregression( SVAR) model short-term constraints and studies the interactive mechanism of investor sentiment,monetary policy and stock market from 2008 to 2016. The result finds that investor sentiment, currency liquidity and stock market gains a significant asymmetric effect. First,the interaction effects of investor sentiment and stock market are positive feedback mechanism, and investor sentiment significantly affects the stock market in the short term. Furthermore,monetary policy and stock market has a positive role in promoting each other. Finally, investor sentiment shows negative feedback mechanism of monetary policy.
