Dissertations / Theses: 'Sentiment Indicator'

1

Jaric, Kosta. "Investor sentiment in the Australian market : the implication of closed-end fund discounts as an indicator of sentiment /." Title page, abstract and table of contents only, 2004. http://web4.library.adelaide.edu.au/theses/09C/09cj374.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Altin, Mehmet. "Economic Sentiment Indicator as a Demand Determinant in Tourism: A Case of Turkey." Thesis, Virginia Tech, 2011. http://hdl.handle.net/10919/42577.

Full text

Abstract:

Tourism is one of the fastest growing industries in the world, employing approximately 220 million people and generating over 9.4% of the world's GDP. The growing contribution of tourism is accompanied by an increased interest in understanding the major factors which influence visitation levels to those countries. Therefore, finding the right variables to understand and estimate tourism demand becomes very important and challenging in policy formulations. The purpose of this study is to introduce Economic Sentiment Indicator (ESI) to the field of tourism demand studies. Using ESI in demand analysis, this study will assist in the ability to tap into individuals' hopes and/or worries for the present and future. The study developed a demand model in which the number of tourist arrivals to Turkey from select EU countries is used as the dependent variable. ESI along with more traditional variables such as Interest Rate, Relative Price, and Relative Exchange Rate were brought into the model as the independent demand determinants. The study utilized such econometric models as ARIMA for seasonality adjustment and ARDL Bound test approach to cointegration for the long and short-run elasticities. ESI was statistically significant in 8 countries out of 13, three of those countries had a negative coefficient and five had a positive sign as proposed by the study. The study posits that ESI is a good indicator to gauge and monitor tourism demand and adding the visitors' state of mind into the demand equation could reduce errors and increase variance in arrivals. Policy makers should monitor ESI as it fluctuates over time. Since we do not have direct influence on travelers' demand for tourism, it is imperative that we use indirect approaches such as price adjustment and creating new packages or promotional expenditures in order to influence or induce demand. Using this information generated from the study, government officials and tourism suppliers could adjust their promotional activities and expenditures in origin countries accordingly.
Master of Science

APA, Harvard, Vancouver, ISO, and other styles

3

Noël, Stéphane. "Différences entre les types pensée et sentiment du Myers-Briggs Type Indicator selon l'humeur négative et positive et le stress." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp04/mq23733.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Spånberg, Erik. "Out of Sample Forecast of Swedish GDP Growth by the Economic Sentiment Indicator in the Euro Area : A Bayesian Approach." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256761.

Full text

Abstract:

In this paper, the predictive capabilities of the Economic Sentiment Indicator (ESI), based on business and consumer surveys in the Euro area, are evaluated by out-of-sample forecasts of Swedish GDP growth. A steady state Bayesian VAR-model is applied to quarterly data from 1996 to 2014. The results show that the inclusion of the ESI improves the forecasting performance, both in the point predictive measurement Root Mean Square Errors and in the forecast density sharpness measurement Log Predictive Density Scores. These findings suggest that international confidence indicators may prove useful in forecasting macroeconomic trends for small open economies.

APA, Harvard, Vancouver, ISO, and other styles

5

Kirø, Magnus Løken. "Tweet Sentiment, Sentiment Trend, and a Comparison with Financial Trend Indicators." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for datateknikk og informasjonsvitenskap, 2014. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-27032.

Full text

Abstract:

Background: As Twitter has become a global microblogging site, it’s influ-ence in the stock market has become noticeable. This makes tweets an interest-ing medium for gathering sentiment. A sentiment that might influence trendsin the stock market.Motivation: If Twitter can be used to predict future prices in the stock mar-ket the casual investor would gain an advantage over the day-trader and themodern trading algorithms.Another interesting aspect is the role of Twitter in sentiment analysis. Andhow Twitters role as a data source influences trends in the stock market.Data and Experiments: Twitter is used as the data source. It provides easyaccess, lots of data, and many possibilities to use available metadata. To findthe sentiment of a tweet we use two methods, counting positive and negativewords(bag of words), and classifiers (SVM and Naive Bayes). We use movingaverage(MA) and average directional index(ADX) as trend indicators. We cal-culate MA and ADX with data from Oslo stock exchange, and we created ourown indicators, based on MA and ADX, using data from Twitter. Then wecompare the graphs.Findings: We explore the usage of lists of words, dictionaries, in sentimentanalysis. And we look at data retrieval from Twitter and the trend we cancreate from it. To a varying degree we get positive results with the dictionaries,while the trend aggregation lacks the finesse and results we hoped for.Conclusion: Sentiment classification of tweets worked with both bag of words,and trained classifiers. We also managed to aggregate a trend based on senti-ment, but we found no correlation between the financial trend indicators andthe sentiment indicators.

APA, Harvard, Vancouver, ISO, and other styles

6

Rojas, Alabarce Matías Nicolás. "Forecasting activity using sentiment indicators : the case of Chile." Tesis, Universidad de Chile, 2016. http://repositorio.uchile.cl/handle/2250/138586.

Full text

Abstract:

Tesis para optar al grado de Magíster en Análisis Económico
In this article we evaluate, in several dimensions, the ability of two sentiment indicators, consumers and business, to forecast year-on-year variation of Chilean activity. We do in-sample and out-of-sample exercises to evaluate predictive capacity. In out-of-sample exercises, when we predict activity using a constant we find that the business confidence indicator (BCI) have the capacity to improve forecasts, the economic perception index (EPI) do not shown predictive capacity in a naïve context. Adding a univariate structure, the results continue to show predictive ability for the BCI, the variable improve forecast for horizons 1 to 12 month ahead, for the EPI the results show predictive ability in medium term forecast, 9 and 12 months ahead. When we use the model proposed by Urrutia and Sanchez (2008) (USM), BCI continues to show predictive ability, but by itself, on average, does not deliver better forecasts that USM. For EPI we find predictive ability in out-of-sample exercises for medium term forecast. The hit rate exercises shows that BCI and EPI correctly predict changes in direction of activity in most horizons. We conclude that business confidence indicator can be use as a leading indicator of Chilean activity. A contribution of this paper is use Clark and West (2007) test in iterative method of forecast.

APA, Harvard, Vancouver, ISO, and other styles

7

Bruno, Magna Maria dos Santos. "Uma anÃlise do sentimento dos empresÃrios brasileiros dos setores de produtos alimentares e metalurgia no perÃodo 2002 â 2012." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=12427.

Full text

Abstract:

nÃo hÃ
A partir de dados mensais dos Ãndices de confianÃa de produtos alimentares e metalurgia da FGV, jÃ ajustados sazonalmente pela prÃpria instituiÃÃo, o presente trabalho avalia como a instabilidade econÃmica do perÃodo de 2002 a 2012 impactou nesses Ãndices. Foi selecionada uma amostra de 133 observaÃÃes, no referido perÃodo e Ãs duas variÃveis supracitadas foi aplicado um modelo autoregressivo com valor limite endÃgeno objetivando captar mudanÃas de regime na dinÃmica descrita pelos Ãndices de confianÃa jÃ citados, bem como de descrever o processo estocÃstico descrito pelas variÃveis selecionadas. Os indicadores qualitativos para essas variÃveis foram entÃo calculados e a metodologia permitiu investigar a linearidade e estacionaridade de suas trajetÃrias, produzindo resultados que revelaram as seguintes situaÃÃes para os Ãndices: i) o Ãndice de metalurgia apresentou uma dinÃmica nÃo linear e raiz unitÃria parcial com valor limite endÃgeno estimado de -5,94 pontos percentuais; ii) o Ãndice de produtos alimentares apresentou dinÃmica linear e estacionaridade da sÃrie. Em conjunto, tais constataÃÃes sugerem que a confianÃa do empresariado do seguimento de produtos alimentares, pertencente ao setor de consumo nÃo cÃclico, foi abalada em menor magnitude no perÃodo de instabilidade econÃmica que a confianÃa do empresariado do seguimento de produtos de metalurgia, pertencente ao setor de consumo cÃclico. Intuitivamente conclui-se que atravÃs da estimaÃÃo dos Ãndices que os referidos seguimentos tambÃm sofreram impactos de intensidades diferentes no contexto macroeconÃmico investigado.
From monthly data confidence indexes of food and metallurgy FGV, already seasonally adjusted by the institution itself, this study assesses how the economic instability of the period of 2002 to 2012 impacted these indexes. A sample of 133 observations was selected during that period to these two variables and an autoregressive model was applied with endogenous threshold value aiming to capture regime changes in the dynamics described by the confidence indices mentioned above, as well as describe the stochastic process described by the variables selected. The qualitative indicators for these variables were then calculated and the methodology allowed to investigate the linearity and stationarity of their trajectory, producing results that revealed the following situations for index: i) the index of metallurgy presented a nonlinear dynamic and partial unit root limit endogenous estimated -5.94 percentage points, ii) the index of food presented linear dynamics and stationarity of the series. Together, these findings suggest that the businessman confidence of following food products belonging to the consumer non-cyclic sector was shaken at a lower intensity in the period of economic instability that businessman confidence following the metallurgy products belonging to the sector consumer cyclic. Intuitively it is concluded that by estimating the indices that these segments also suffered impacts of different intensities in the macroeconomic context investigated.

APA, Harvard, Vancouver, ISO, and other styles

8

Frazzoni, Luca. "Modelli di previsione delle serie storiche macroeconomiche." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/6736/.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Larsson, Rasmus, and Sebastian Haq. "The dynamics of stock market returns and macroeconomic indicators: An ARDL approach with cointegration." Thesis, KTH, Entreprenörskap och Innovation, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-189993.

Full text

Abstract:

Macroeconomic indicators are amongst the most important and used tools for investors as they provide an outlook for the economy and thus improve the assessment of investments e.g. for asset allocation. The purpose of this thesis is to investigate the short- and long-run relationship between the US stock market index S&P500 and six selected macroeconomic indicators during different time regimes during 2000-2016. The chosen indicators are Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index and the ISM Manufacturing index as they measure different parts of the economy and are commonly used by investors. We achieve the purpose by using the Autoregressive Distributed Lags model (ARDL) as it has several advantages in relation to comparable time series models. The results show that all indicators except Personal spending are significant in the long-run on the 1-percent level, in at least one time-regime. All indicators have significant results also in the short-run except the Money Supply (M1), depending on which time period that is under investigation. Our conclusion is that our chosen indicators have different characteristics depending on the current dynamics of the stock market, economic state and other related markets. The practical implication for investors is that different indicators are of limited use depending on the current market dynamics and investors must evaluate the underlying premises of the development of the indicator rather than interpreting a specific datapoint.
Makroekonomiska indikatorer är bland de mest viktiga och använda verktygen av investerare eftersom man kan få en överblick av den ekonomiska utvecklingen och således förbättra beslutsunderlaget vid till exempel tillgångsallokering. Syftet med denna avhandling är att undersöka de kort- och långsiktiga förhållandena mellan det amerikanska aktiemarknadsindexet S&P500 och sex utvalda makroekonomiska indikatorer under olika tidsperioder mellan 2000-2016. De valda indikatorerna är Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index och ISM Manufacturing index eftersom de mäter olika delar av ekonomin och används kontinuerligt av investerare. Vi uppnår syftet genom att använda en Autoregressive Distributed Lags (ARDL) modell då den har flertalet fördelar i förhållande till jämförbara tidsseriemodeller. Resultaten visar att alla indikatorer utom Personal spending är signifikant på lång sikt på enprocentsnivån, över olika tidsperioder. Alla indikatorer har även signifikanta resultat på kort sikt förutom M1 Money supply, beroende på vilken tidsperiod som studeras. Vår slutsats är att dem valda indikatorerna har olika egenskaper beroende på den aktuella dynamiken i aktiemarknaden, ekonomin eller andra relaterade marknader. Den praktiska konsekvensen för investerare är att eftersom olika indikatorer är av begränsad användning beroende på den rådande marknadsdynamiken, måste investeraren noggrant utvärdera de underliggande villkoren för utvecklingen av en unik indikator snarare än att endast tolka en unik datapunkt.

APA, Harvard, Vancouver, ISO, and other styles

10

TEIXEIRA, Michele Svaiger. "A rela????o da atividade de emiss??o de a????es com os fatores macroecon??micos e o sentimento do mercado no Brasil." FECAP, 2015. http://tede.fecap.br:8080/jspui/handle/jspui/708.

Full text

Abstract:

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2016-06-20T15:25:30Z No. of bitstreams: 2 Michele_Svaiger_Teixeira.pdf: 1276451 bytes, checksum: 33e80e789182b470b1b290f8dfa5e294 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5)
Made available in DSpace on 2016-06-20T15:25:30Z (GMT). No. of bitstreams: 2 Michele_Svaiger_Teixeira.pdf: 1276451 bytes, checksum: 33e80e789182b470b1b290f8dfa5e294 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Previous issue date: 2015-08-27
This dissertation analyzes the equity issuance activity (IPOs and follow-ons) relation with economics fundamentals and investor sentiment between 2004 and 2013 in the Brazilian market. Measures of the economy such as GDP (Gross Domestic Product), Selic rate, Gross Fixed Capital Formation (FBCF), exchange rate variance and Bovespa Index were associated to IPOs and follow-ons that occurred in the analyzed period summarized quarterly in monetary and quantitative terms. A modest relation between measures of the economy and equity issuance activity was observed, roughly 30%. The Optimism Index (IO) developed by NEFIN and the Consumer Sentiment Index (ICC) calculated by Fecomercio was defined as sentiment measures on the model and they were not statistically significant in the empirical analysis, contradicting studies about investor sentiment relation with the financial market.
Esta disserta????o analisa a rela????o da atividade de emiss??o de a????es (IPOs e follow-ons) com as vari??veis macroecon??micas e com o sentimento do mercado entre os anos de 2004 e 2013 no Brasil. Fatores macroecon??micos como PIB (Produto Interno Bruto), Taxa Selic, Forma????o Bruta de Capital Fixo (FBCF), varia????o cambial e o ??ndice Bovespa foram relacionados aos IPOs e follow-ons ocorridos no per??odo e sumarizados trimestralmente em termos monet??rios e quantitativos. Identificou-se uma modesta rela????o dessas vari??veis com a atividade de emiss??o de a????es em torno de 30%. O ??ndice de Otimismo (IO) desenvolvido pelo NEFIN e o ??ndice de Confian??a do Consumidor (ICC) apurado pela Fecomercio representaram o sentimento de mercado e n??o possu??ram signific??ncia estat??stica na an??lise emp??rica, contrariando estudos acerca da representatividade do sentimento do investidor no mercado financeiro.

APA, Harvard, Vancouver, ISO, and other styles

11

Tavares, Cátia Daniela Lopes. "Sentiment analysis to predict the Portuguese economic sentiment based on economic news." Master's thesis, 2021. http://hdl.handle.net/10071/24130.

Full text

Abstract:

Measuring the economic sentiment of a country is crucial to understand and predict its short-term economic condition. This work proposes an automatic sentiment indicator, derived from collected economic news texts, that is able to accurately measure the current economic sentiment in Portugal and is highly correlated with the official Economic Sentiment Indicator, published a few weeks later by the European Commission, based on surveys. The data used in these experiments consists of almost 90 thousand Portuguese economic news, extracted from two well-known Portuguese newspapers, covering the period from 2010 to 2020. Each document was automatically classified with the corresponding sentiment polarity, using a rule-based approach that proved suitable for detecting the sentiment in Portuguese economic news. In order to perform sentiment analysis of economic news, we have also evaluated the adaptation of existing pre-trained modules and performed experiments with a set of Machine Learning approaches. Experimental results show that our rule-based approach, that uses manually written rules specific to the economic context, achieves the best results for automatically detecting the polarity of economic news, largely surpassing the other approaches. Our experimental results shows that the sentiment expressed through economic news constitute a promising way of predicting the economic sentiment, thus allowing to understand the economic situation in Portugal in almost real time. The developed indicator, based on the news, give us a predictive power of the economic fluctuations and the sentiment concerning the economic agents about the present and the future of the economy.
Medir o sentimento económico de um país é crucial para compreender e prever a sua condição económica de curto prazo. Este projeto propõe um indicador de sentimento automático, baseado em textos recolhidos de notícias económicas, que é capaz de medir com precisão o sentimento económico atual em Portugal e está altamente correlacionado com o Indicador de Sentimento Económico oficial, publicado pela Comissão Europeia algumas semanas depois e calculado com base em inquéritos. Os dados utilizados nestas experiências consistem em cerca de 90 mil notícias económicas portuguesas, extraídas de dois jornais portugueses de renome, abrangendo o período de 2010 a 2020. Cada notícia foi automaticamente classificada com a polaridade de sentimento que tem associada, através de uma abordagem baseada em regras que provou ser adequada para detectar o sentimento das notícias económicas portuguesas. Para realizar a análise de sentimento das notícias económicas, também avaliámos a adaptação de módulos prétreinados existentes e realizamos experiências com um conjunto de abordagens de Aprendizagem Automática. Resultados experimentais mostram que a nossa abordagem baseada em regras, que usa regras escritas manualmente específicas para o contexto económico, alcança os melhores resultados para detectar automaticamente a polaridade das notícias económicas, superando amplamente as outras abordagens. O nosso estudo mostra que o sentimento expresso através das notícias económicas constitui uma forma promissora de prever o sentimento económico, permitindo entender a situação económica em Portugal quase em tempo real. O indicador desenvolvido, com base nas notícias, tem poder preditivo das flutuações económicas e do sentimento dos agentes económicos acerca do presente e o futuro da economia.

APA, Harvard, Vancouver, ISO, and other styles

12

Lin, Yu-Ju, and 林育如. "The Effect of Sentiment Indicator on Return Rate of Taiwan Stock Index Futures." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/nv96cb.

Full text

Abstract:

碩士
國立虎尾科技大學
經營管理研究所
100
About investor Sentiment influence their investment behavior of past literature, mostly focusing on the stock market rather than in the futures market. In addition, past literature found investors easy to emotional changes, rendering non-linear association. Therefore, we used Taiwan stock index futures returns for investors measure the behavioral performance, used north, west, east and south of the weather factors (including temperature rainfall and sunshine hour) as a proxy for changes in investor sentiment indicator. In this paper, we choose Taiwan from 2000 to 2010 monthly data to explore investor sentiment and the investment environment of Taiwan Futures investment performance affect. Our approach of nonlinear used Hansen’s (2000) threshold regression model to examine whether the threshold effect of investor sentiment index on Taiwan stock index futures is existed. Empirical results found, first is to invest in the exploration of different emotional proxy variables and environmental variables of the impact of Taiwan’s stock index futures returns. The emotional agent variables to determine the most significant impact of temperature on Taiwan’s stock index futures returns. In terms of investment environmental variables regarding Taiwan’s stock index futures open, the most significant effects of Taiwan’s stock index futures occur on the last sold and interbank rates of stock index futures returns. Secondly, regarding non-linear threshold effects testing; using temperature as a threshold variable, Taiwan’s stock index futures settlement price on stock index futures returns had a threshold effect in the north and south. In addition, Taiwan’s stock index futures'' open interest and interbank rates had a threshold effect on the stock index futures'' returns in the east. Then, using the changing rainfall as a threshold variable, Taiwan’s stock index futures settlement price on index futures returns had a threshold effect in the north and east, while interbank rates had a threshold effect on Taiwan’s stock index futures'' returns in the north and west. Then, using changes to the hours of sunshine as a threshold variable, interbank rates had a threshold effect on Taiwan’s stock index futures'' returns in the west. Finally, the threshold effect found that Taiwan’s stock index futures'' had a settlement price regardless of the regional effects of the period, were unchanged by the effects of weather sentiment indicators, and maintained significant positive effects. Taiwan’s stock index futures price volatility influenced stock index futures'' returns by temperature effects in the east, at temperatures of 23.52°C, with significant positive effects in the area. Interbank rates on the influence of Taiwan’s stock index futures'' returns by temperature and hours of sunshine had significant positive impact effects in the north and west, when rainfall was >170.17mm and >137.27mm, and hours of sunshine were >200.53hr.

APA, Harvard, Vancouver, ISO, and other styles

13

Shih, Lin Chang, and 張士琳. "Predicting Stock Prices with Sentiment Indicator and the LSTM : Evidence form Taiwan Stock Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/gnxq3q.

Full text

Abstract:

碩士
國立臺北商業大學
財務金融研究所
106
This paper aims to use the Long Short Term Memory (LSTM) model to predict the next day’s direction of daily Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). The sample covers the daily data for 15 years from April 2003 to April 2018. The input variables used in this study contains different conbinations from the price, volume and market sentiment variables, including the original data and transformed data. By applying a sliding window approach, this study evaluates the model starts with looking at its in-sample and out-of-the-sample accuracy and forcast performance across different data sets. The empirical results show that adding sentiment factors will improve the accuracy and forecast performance of predicting next day’s direction of TAIEX. In addition, this paper show that options-based sentiment indicators are the important factor influencing the forecast performance. This study will provide further insighs into market efficiency and behavioral finance fields.

APA, Harvard, Vancouver, ISO, and other styles

14

Sohail, Tariq. "Developing market sentiment indicators for commodity price forecasting using machine learning." 2017. http://hdl.handle.net/1993/32038.

Full text

Abstract:

The objective of this study is to develop a market sentiment model for financial markets using machine learning, and to illustrate these methods using commodity price data. A market sentiment model may capture the fundamental and crowd psychology of the market, through a variable that uses positive and negative words and phrases. The commodity price used is the daily price of the spot crude oil exchange-traded fund (ETF), United States Oil Fund (USO). The forecasting power of the market sentiment model is compared with a traditional autoregressive model. The results showed that the autoregressive models did not have significant forecasting power for the oil data over the time period examined and the addition of the sentiment model did not improve the forecasting power. Machine learning is a relatively new forecasting method. Therefore, further research on this topic is needed before any firm conclusions can be drawn regarding the effectiveness of this approach.
February 2017

APA, Harvard, Vancouver, ISO, and other styles

15

CHEN, GUAN-YUAN, and 陳冠淵. "The Information Content of the Stock Market for Sentiment Analysis – Using the PTT Stock As An Indicator." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/x3455x.

Full text

Abstract:

碩士
國立臺北科技大學
資訊與財金管理系
107
In the past, research in different fields often divided the financial indicators of financial markets and the comments of public media on social sentiment into two distinct themes. In this study, principal component analysis was used to construct five indicators: turnover rate, financing / bearing ratio, relative strength index, put / call ratio, and sentiment of PTT stock board. And separately explore the information disclosure capabilities of each various variable and new indicator for Taiwan Capitalization Weighted Stock Index(TAIEX). The results of this study found that traditional financial indicators, sentiment of PTT stock and comprehensive sentiment indicator have a good predictive effect in terms of regression or accuracy, and it is found that the performance of sentiment of PTT stock in the Taiwan market is better than some traditional financial indicators. Also, the value of the information disclosed in those indicators and messages held at different time periods will affect the performance of the emotional scores after calculation. In addition, this article has a negative correlation result in one lag phase of the comprehensive emotional index, which may come from the fact that investors generally have optimistic bias, and overconfidence makes its operation in the stock market easy to have an inverse relationship with remuneration, and in terms of accuracy, the market's optimistic forecast is slightly better than pessimistic.

APA, Harvard, Vancouver, ISO, and other styles

16

Yen, Chien-Yu, and 顏千又. "An Application of Chaos Theory and Artificial Neural Network under Single Currency Unit in Asian-The Role of Market Sentiment Indicator." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/97934841192388774209.

Full text

Abstract:

碩士
中原大學
企業管理研究所
100
Through the financial tsunami in 1997 and 2008, Asian states have a consensus to use the single currency unit against external attacks and enhance regional economic sound. Asian countries are focus on trade, so the impact of profitability for enterprises and investors were based on exchange rate movement. In the past, most of study observed the effect of the exchange rate movement linked with macroeconomic factors. This study used five market sentiment indicators (such as VIX index, Put/Call ratio, CRB index, Gold price/HUI, and oil price) to examine the trend of Asian single currency units, and expected to enhance the exchange rate forecast. This study examine that predict the trend of Asian Currency units by market sentiment indicators. Utilizing the three approaches (such as BDS test, R/S Analysis, and Correlation Dimension Analysis) this paper examined whether Asian single Currency units have the chaos phenomenon. This paper uses a suitable nonlinear prediction of Back-Propagation Neural Network (BPNN) and Time-Delay Recurrent Neural Network models (TDNN), joining five sentiment indicators to forecast and compared the performance of the models. The study samples are constructed a different weighting for single currency unit in Asian, including ACU1 [calculated by Special Drawing Rights (SDR)], ACU2 (calculated by SDR), CCU1 (calculated by SDR), CCU2 (calculated by SDR modification), and other related single currencies like Asian Monetary Unit (AMU) and Asian Dollar Index (ADXY Index). The period was obtained from 1992/3 to 2011/6. Though BDS test, R/S Analysis, and Correlation Dimension Analysis, the results showed that Asian Single Currency Units samples are nonlinear time series and have chaos phenomenon. The results of neural network forecast indicated that the sentiment indicator like VIX index, Put/Call ratio, CRB index, Gold price/HUI, and Oil Spot Price can effectively apply predicting in Asian Single Currency Units trend in future. And Back-propagation Network (BPN) has better forecasting performance for Single Currency Units in Asia to provide investors a valuable information for investment and to assess decision making in the future.

APA, Harvard, Vancouver, ISO, and other styles

17

Πάκου, Αντωνία. "Μελέτη της σχέσης μεταξύ δείκτη εμπιστοσύνης του καταναλωτή και χρηματιστηριακών αποδόσεων στα ευρωπαϊκά χρηματιστήρια." Thesis, 2008. http://nemertes.lis.upatras.gr/jspui/handle/10889/1218.

Full text

Abstract:

Στην παρούσα εργασία μελετούμε τη σχέση μεταξύ χρηματιστηριακών αποδόσεων και δείκτη εμπιστοσύνης στις 27 χώρες-μέλη της ΕΕ για τα έτη 1985-2006. Βρήκαμε ότι για το μεγαλύτερο μέρος των χωρών της ΕΕ εμφανίζεται θετική συσχέτιση μεταξύ αποδόσεων και δείκτη εμπιστοσύνης του καταναλωτή στον βραχυχρόνιο ορίζοντα. Οι μεταβολές και στους δύο δείκτες τείνουν να κινούνται παράλληλα στην ίδια περίοδο, με εξαίρεση την πλειοψηφία των νεοεισελθέντων χωρών. Στον μακροπρόθεσμο ορίζοντα, βρήκαμε ότι για τις περισσότερες χώρες ο συντελεστής γίνεται σχεδόν μηδενικός. Για το μεγαλύτερο μέρος των χωρών της ΕΕ υφίσταται σχέση αιτιότητας μεταξύ των μεταβλητών, με τις αποδόσεις να προκαλούν κατά Granger τον δείκτη εμπιστοσύνης του καταναλωτή και τον δείκτη οικονομικής εμπιστοσύνης, αλλά το αντίστροφο δεν ισχύει. Αμφίδρομη σχέση αιτιότητας μεταξύ αποδόσεων και εμπιστοσύνης των καταναλωτών παρατηρείται μόνο για την Γαλλία οριακά, ενώ για την ΕΕ βρήκαμε οτι υπάρχει αμφίδρομη σχέση αιτιότητας μεταξύ αποδόσεων και δείκτη οικονομικής εμπιστoσύνης.
This paper studies the relationship between stock market developments and confidence index for the 27 EU countries - members over the years 1985-2006. We found that for the majority of the EU countries exists positive correlation between the stock market index and the confidence indicators (consumer confidence indicator and economic sentiment indicator) in the short horizon. The changes between these indexes tempt to move in the same direction contemporaneously and in the short horizon (of 1 month), with the new EU members to be an exception. The correlation becomes almost zero in the long horizon. For the most of the EU countries there is causality between the variables. Stock returns in general Granger-cause the Consumer Confidence Index and the Economic Sentiment Indicator, but not vice versa. We found also that there is feedback causality relationship between stock returns and confidence for France and the EU as a whole.

APA, Harvard, Vancouver, ISO, and other styles

18

Hung, Pei-Yuan, and 洪培元. "Market Sentiment Indicators and Stock Returns." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/82448416462431683666.

Full text

Abstract:

碩士
國立雲林科技大學
財務金融系碩士班
92
Market sentiment of investors becomes Behavior Finance desire to study a new issue at near year. However, for the most related literature of market sentiment study that market sentiment will influence stock returns and doesn’t include analysis of bullish and bearish .In this paper, we apply VAR model (Vector Auto regression model) to investigate the connection between market sentiment indicators and stock returns, included the Variance Decomposition and Impulse Response Function of bullish and bearish. We can find the connection between market sentiment indicators and stock returns between bullish and bearish. Our empirical result show：（1）the market sentiment disappear on influence of stock returns, however ,it remains significant that stock returns will influence the various market sentiment variables（2）analysis of bullish and bearish about the connection between market sentiment indicators and stock returns has no difference. It was found that investor market sentiment is influenced with stock returns on bullish market is more significant than bearish market.

APA, Harvard, Vancouver, ISO, and other styles

19

Lin, Wen-Hua, and 林琬樺. "Investor sentiment indicators and coffee futures." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/48yr45.

Full text

Abstract:

碩士
國立中央大學
財務金融學系在職專班
105
As the coffee futures market is a very speculative market, this study examines how various investor sentiment measures affect the returns on coffee futures. Specifically, this thesis explores how the trading of professional institutional investors and individual investors affect the coffee futures prices from the behavioral finance perspective. Using the Consensus Bullish Sentiment Index as an institutional investor sentiment indicator, the empirical evidence indicates that professional institutional investors are optimistic about the futures prices, the following will also rise, which means that institutional investors are smart investors. On the contrary, various individual investor sentiment indicators (i.e., MCSI, BW, CCI) are negatively correlated with coffee futures prices, suggesting that individual investors are irrational noise traders.

APA, Harvard, Vancouver, ISO, and other styles

20

林佳陵. "Nikkei 225 Futures Returns and Sentiment Indicators." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/57275070221711485418.

Full text

Abstract:

碩士
銘傳大學
財務金融學系碩士班
91
This article examines the predictive power of popular market-based sentiment measures for subsequent returns on the Nikkei 225 futures contract over 10-day, 20-day, and 30-day horizons from January 1994 through 2001. These measures include the volatility index (VIX), the put-call ratio of open interest (pcoi), and put-call ratio of volume (pcvol). If regression result is negative, then presents out-of-sample trading simulations that involve buying Nikkei225 futures when the sentiment indicators are high and selling Nikkei225 futures when the sentiment indicators are low. The empirical results show that these variables over a variety of specifications frequently have statistically and economically significant forecasting power. The results indicate that VIX and pcoi、pcvol extreme low variables are contrarian indicators, and pcoi、pcvol extreme high variables are continuous indicators. According the negative relationship between indicators and Nikkei225 futures set the contrarian strategy. Finally, out-of sample trading simulations demonstrate continuous trading is better than non-continuous trading in the holding days. The average return of extreme high strategy is roughly better than the average return of extreme low strategy. The abnormal return of VIX and pcoi indicator is better than the average return of pcvol.

APA, Harvard, Vancouver, ISO, and other styles

21

CHUAN, WU HUI, and 吳慧娟. "The Application of Sentiment Indicators on Taifex Futures." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/56529458312330332820.

Full text

Abstract:

碩士
輔仁大學
金融研究所
93
Greed and panic is the two factors that trigger the stock market. This article examines the predictive power and returns of popular market-based sentiment indicators on the Taifex futures from January 2004 to April 2005. These measures include the put-call ratio of open interest (PCOI), put-call ratio of volume (PCVOL), and volatility index (VIX). As the market advances, the investing public is afraid they will be left behind. Their greed tells them to buy. Later, as the market plunges, investors panic. Fearing that they won’t be able to get out, they sell. In the end, investors tend to do the wrong thing at the right time. Thus, a wise contrary-opinion technician does the opposite of what the general public does. The empirical results show that PCOI has positive connection with Taifex futures ; PCVOL and VIX has negative connection with Taifex futures. Negative returns of VIX for the stock index yield much larger relative changes in the index than do positive returns. However, PCVOL, on the contrarian, positive return yield much larger relative changes than do negative returns. Of these three indicators, the relationship between PCVOL and Taifex Futures is lower than PCOI and VIX. PCVOL is the worst estimator of these 3. Our empirical result shows that when the VIX gradually falls, the returns of futures tend to be positive; on the contrary, when the VIX advances, the returns of futures tend to be negative. But what’s when the VIX up to extremely high or low, it will be reversed. During this research period, if VIX is greater than 44 percent, it implies the investing public is too panic, therefore, contrarians will be bullish and buy securities. If VIX is less than 16 percent, it implies the investing public is too optimistic, there contrarians will be bearish and sell securities. The VIX have a better forecasting power of these 3 indicators.

APA, Harvard, Vancouver, ISO, and other styles

22

Chang, Wen-Hua, and 張雯華. "The Effect of Monetary Policy on Sentiment Indicators." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/16157159539779405383.

Full text

Abstract:

碩士
中原大學
企業管理研究所
98
Abstract This research studies the effects of monetary policy on emotional index. By adopting the changes of re-discounted rates, the changes of deposit-reserve rates and open market operations as variables, this study examines monetary effect on VIX, Put Call Ratio, TRIN and Bull Bear Spread by means of ARCH and GARCH(1,1) models, respectively. Besides, the monetary policy is categorized into tight and loose ones, thereby figuring out whether or not different implementation may cause expectation on emotional index for investors. Through ARCH (1) and GARCH (1,1) analyses, the result demonstrated that the decreases of re-discounted rate and deposit-reserve rate could not lower the panic of investors. Under the open market operation, the results of GARCH model showed that the positive significance relationship between short-run repurchase agreement on VIX, This represents that the loose open market operation conversely increases VIX, reflecting that loose monetary policy is not only ineffective, but also causes adverse result. Fed’s long-term open market operation for outright purchase (OR) and outright sell (OS) contributed to the adverse effects on Put Call Ratio by using ARCH and GARCH models, This demonstrates that the loose monetary policy will effectively lower the Put Call ratio. During the period of financial crisis, investors still have confidence in the market; therefore, the Fed’s long-term market operation of OR and OS is an effective monetary tool providing a crucial reference for the adoption of monetary policy for policy makes.

APA, Harvard, Vancouver, ISO, and other styles

23

Kuo, Yitung, and 郭以彤. "Predictability Of Sentiment Indicators On The Stock Market." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/09106028982833255317.

Full text

Abstract:

碩士
中國文化大學
國際企業管理學系
100
The thesis tries to employ sentiment indicators to figure out the possible abnormal returns in the Taiwan stock market. These indicators used are the put-call volume ratio, the put-call open interest ratio, the turnover rate, the margin loan balance, the short balance, and the VIX. The highest 10% and the lowest 10% values of each index are considered as the extreme values which represent the stock market might be overbought or oversold. The events generated from the extreme values are used to examine whether there are abnormal returns after the events. The sample period was from January 2, 2004 to June 30, 2011 and the research method is the event studies using parametric and nonparametric tests. The empirical results show that both tests indicate the average market returns after events are significantly different from those before events. Therefore, the sentiment indicators may have some ability to predict the stock market and generate excess returns.

APA, Harvard, Vancouver, ISO, and other styles

24

Chih, Lam Hsien, and 林先志. "The Construction of Stock Trading Strategies Using Technical Indicators and Investor Sentiment Indicators." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/74106626973892941683.

Full text

Abstract:

碩士
東吳大學
財務工程與精算數學系
102
To achieve a better investment performance, investors should know more about the fundament analysis, investor sentiments, and technical analysis of the market. By way of the aid of investor sentiments indicators and technical analysis indicators, people can better know when to buy or sell stocks. This study used the Taiwan ETF stock (TW 0050) as the underlying asset of investment, and constructing stock trading strategies by using technical indicators and investor sentiment indicators. The empirical results showed that VIX index can predict the future stock returns. The performance of trading strategies based on VIX index is better than the buy-and-hold strategy in the bear market. In addition, the stop-loss mechanism is necessary, especially in the bear market.

APA, Harvard, Vancouver, ISO, and other styles

25

Lin, You-Ru, and 林祐如. "The Application of Sentiment Indicators on Taiwan Stock Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/s76un8.

Full text

Abstract:

碩士
國立中興大學
財務金融系所
101
The investors in the capital market usually learn and introspect themselves through their past trading experience. Furthermore, investors will reflect their sentiment on trading behaviors. But the classical financial theory doesn''t take the investor sentiment as considerations. In classical financial theory, it is believed that investors are all rational traders. Therefore, this research collects the data of trading information in the stock market, analyzes the interactive relationship between investor sentiment and Taiwan stock market returns, and sets up the simulated trading strategy. The results shows that the change rate of margin, odd-lot ratio, put/call ratio, VIX, the change rate of foreign investor net buy and the change rate of dealer net buy show leading relationship with the future Taiwan stock market returns in Granger causality test, but ARMS, the change rate of short-selling and the change rate of investment trust net buy show lag relationship with the future Taiwan stock market returns. Divide the investor sentiment variables above into three types, and extract investor common sentiment by principal component analysis, we find that derivative financial market sentiment indicator is bearish indicator within 10 days, the professional investors sentiment indicator is bullish indicator, and the individual investors sentiment indicator is bullish indicator within 3 days. By the simulated trading strategy, we can find that making use of the derivative financial market sentiment indicator and professional investors sentiment indicator to buy or short in extreme optimism or pessimism could obtain better rate of return, but making use of the individual investors sentiment indicator obtain better rate of return to buy or short at the sentiment turn to optimism or pessimism.

APA, Harvard, Vancouver, ISO, and other styles

26

Lin, Mei-hua, and 林媺樺. "Applying Options Market Sentiment Indicators to Futures Market in Taiwan." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/12690824306709912002.

Full text

Abstract:

碩士
南台科技大學
財務金融系
101
This paper investigates the market sentiment indicators of Taiwan and Taiwan Index Futures from January 4, 2010 to April 30, 2013, and distinguishes the bull/bear market during the research period for analysis. The stock market data of Taiwan are used to construct thee indicators, namely the put/call OI ratio, the put/call ratio of volume, and the new volatility index。　　After validating the correlations of the three indicators with Taiwan Index Futures Index and return of futures, causality test is conducted to explore whether there is any influence on the return of futures. Regression equation is then used to test the explanatory powers of the three indicators on the returns. Finally, simulation trading is conducted based on the characteristics of the indicators, specifically at the extremely high and low values of the three indicators, in order to find out whether the three indicators can obtain excess returns in the trading and be regarded as effective indicators. 　　The results suggest that put/call OI ratio is not a reverse indicator, while the put/call ratio of volume and the volatility ratio are the reverse indicators. Investors can use the put/call ratio of volume and the volatility ratio at the extreme high values in the bull market for the put futures trading; in the bear market, put/call ratio of volume and the volatility ratio at extreme low values for call futures trading, in order to gain excess returns.

APA, Harvard, Vancouver, ISO, and other styles

27

Tang, Ya-Hua, and 唐雅華. "The effect of market sentiment indicators on the stock price." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/71892176271497955920.

Full text

Abstract:

碩士
台南科技大學
商學與管理研究所
97
This study investigates the effect of option and stock market sentiment indicators on the stock price changes using the regression and Garch (1, 1) models in Taiwan. The empirical results are as follows. First, we find the stock market turnover is a positive market indicator, but the put-call ratio and VIX on Taiwan index option markets are contrary market indicators. Second, the VIX has a significantly positive effect on the stock market volatility. This implies when investors are more panic, the market volatility are greater.

APA, Harvard, Vancouver, ISO, and other styles

28

ZHANG, YAN-LING, and 張晏玲. "The Options Trading Strategies With Volatility Forecasting Recruiting Sentiment Indicators." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/g7k58n.

Full text

Abstract:

碩士
國立高雄應用科技大學
金融系金融資訊碩士班
105
This study adopts Engle and Gallo（2006） historical volatility model using TXO data and also recruiting the five indicators as investor sentiment indexes included: ARMS index, Turnover ratio(TO), Put-call trading volume ratio(PCV), Put-call option interest ratio(PCO), and Option volatility index(VIX) in order to forecast future volatility and using MAPE to evaluate the accuracy of future volatility for different model, finally we apply to forecasting future volatility to construct recruiting different sentiment indexes of options trading strategies to compare its performance. Our research uses TXO daily data from 2012 to 2016 before h days of settlement date (h=5,10,15,20) to construct options straddle and one call(put) strategies. The empirical results find that recruiting sentiment indexes of TO and VIX can decline MAPE effectively, followed by PCV, ARMS and PCO. In terms of average return, the straddle strategy recruiting ARMS index and executed on 20 days before the settlement day achieves the best return of 28.96% among all straddle strategies. The second best return is 27.39% obtained by the straddle strategy recruiting ΔTO or PCO and executed on 20 days before the settlement day. Both returns exceed the benchmark model（MHV）return of 25.72%. For call option strategy the one recruiting PCO and ΔTO, executed on 20 days before the settlement day generates the best and the second best return of 53.51% and 26.75%, respectively. Both are larger than their benchmark return 12.28%. For put option strategy the one recruiting ΔVIX and TO, executed on 15 days before the settlement day generates the best and the second best return of 11.93% and 10.65%, respectively. Both are greater than their benchmark return 9.00%. In terms of Reward-to-risk ratio（RRR）, the straddle strategy recruiting ΔPCO and executed on 15 days before the settlement day achieves RRR of 2.00 which has the largest incremental improvement relative to its benchmark RRR of 0.92. The straddle strategy recruiting ΔPCO and executed on 10 days before the settlement day generates RRR of 3.26 which exceeds its benchmark RRR by 0.49 and is the highest RRR among all straddle strategies. For call option strategy the one recruiting ΔPCO and executed on 15 days before the settlement day generates the best RRR of 0.78, larger than its benchmark RRR of 0.23. The second best RRR is 0.38 obtained by the strategy recruiting PCO and executed on 20 days before the settlement day, which is also bigger than its benchmark RRR of 0.09. For put option strategy the one recruiting VIX index and executed on 20 days before the settlement day achieves RRR of 0.70 that exceeds its benchmark RRR of 0.6. The strategy recruiting ΔPCO and executed on 10 days before the settlement day brings RRR of 0.92, which exceeds its benchmark RRR by 0.09 and is the best RRR among all put option strategies.

APA, Harvard, Vancouver, ISO, and other styles

29

Wang, Weihao, and 王瑋豪. "The Research of Investor Sentiment Indicators and the Stock Returns." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/14755890408950585192.

Full text

Abstract:

碩士
國立臺北大學
會計學系
99
There have been many studies focusing on the investor sentiment, using different specifications or definitions of investor sentiment indicators. However, the proxies used to describe investor sentiment in past studies could not explain “contemporary investor sentiment”. Therefore, we intend to construct more appropriate investor sentiment indicators by considering the structure of the stock market in Taiwan to examine whether investor sentiment is positively related with the stock returns. In addition, this study further examines whether investor can be used to predict subsequent momentum profitability. In this study TURN 、 △MARGIN 、 △SHORTIR 、 ADVDEC 、 TTT 、RIPO and WARRANT are used by applying Principal Component Analysis(PCA) to construct an aggregate indicators of investor sentiment. The explanatory power of the aggregate indicators is 97.46%, meaning the effectiveness of these indicators. This study uses multiple regression analysis. The empirical results indicate that (1) the sentiment effect is positively associated with stock returns significant. and(2) The sentiment effect is insignificantly positively associated with both of the momentum profitability by holding securities in 3 or 6 months. In general, we find that investor sentiment indicators can be used to explain stock return in the current, but can not be used to predict momentum profitability in the future. Therefore, using investor sentiment indicators can not help to make an abnormal profit.

APA, Harvard, Vancouver, ISO, and other styles

30

Lai, Li-Yu, and 賴莉玉. "The Effect of Market Sentiment Indicators on Taiwan Stock Returns." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/ef79cp.

Full text

Abstract:

碩士
朝陽科技大學
財務金融系碩士班
93
Market sentiment of investors becomes a new special study of Behavior Finance recently. This study investigates the effect of investment sentiment index upon Taiwan stock returns. The selection of investment sentiment indicators is according to the model and the situation of Taiwan stock market. The period covered in this study is during January 2, 2002 to December 31, 2004. This study investigates the investment sentiment index on the effect of Taiwan stock returns arising from 2 method, Stepwise Regression Analysis and Factor Analysis. The empirical findings as follows: 1.The stock returns on the stock market of Taiwan will be effected by the market sentiment indicators. 2.The stocks amount change and financing amount are changed with stock returns on Taiwan stock market positively. 3.The expectation of investors will be influence the fluctuation of stock market.

APA, Harvard, Vancouver, ISO, and other styles

31

LIN, YEN-JU, and 林彥儒. "A Study on the Relationship between Technical Indicators and Investor Sentiment." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/84kdvw.

Full text

Abstract:

碩士
國立臺北大學
企業管理學系
107
In order to explore the correlation between technical indicators and investor sentiment, and further examines if investors can use technical analysis to obtain excess stock returns, this paper uses e-investors sentiment index as proxy variables of investor sentiment to detect whether or not the technical indicators can predict future stock returns performance because of the former captures the change of investor sentiment. The empirical results show that the e-investors sentiment index is highly correlated with the technical indicators, and the e-investors sentiment index is far better than the technical indicators for predicting the future returns of stock market, and the longer the calculation period is, the more significant the predictive power of the model is. The results of the simulated trading show that the return rate of stocks traded by technical analysis rules is not better than the buy-and-hold strategy, but the trading strategy after combining the technical indicators with the 1-week and 4-week lines of e-investors sentiment index will ultimately improve the investment performance. Therefore, it is known that the e-investors sentiment index, as a proxy variable of the investor's sentiment, can successfully compensate the investor's emotions that cannot be captured by the technical indicators.

APA, Harvard, Vancouver, ISO, and other styles

32

Chen, Wen-Hui, and 陳文輝. "A Study on the Relationship between Investor Sentiment and Technical Indicators." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/42961820342153542179.

Full text

Abstract:

碩士
國立臺北大學
國際財務金融碩士在職專班
103
Past literature indicates that sentiment and stock returns have a high degree of correlation, such as Brown and Cliff (2004) found that the degree of emotional level and volatility of stock returns over the same period were highly correlated. And for many individual investors, buying and selling stocks point of select common way is technical analysis, in which a common technical indicators MACD exponential moving average (MACD), RSI (Relative Strength Index), KD (stochastics). This paper focuses on the Relationship between investor sentiment and technical indicators, to detect whether technical analysis indicators it is also a measure of investor sentiment proxy variables. In addition, the paper also further explore investor sentiment and technical indicators have ability to forecast Taiwan's stock market return, this section used Taiwan's stock market return to a weekly, monthly, 3 months, 6 months, 12 months to do different analysis. In investor sentiment indicators, herein by reference Feldman (2010) of the practice, the half-life is divided into nine weeks, 52 weeks and 105 weeks in the Taiwan stock market mutual funds as the data to calculate a new sentiment indicators, namely the loss of perception index (perceived loss index, PLI), to capture the negative investor sentiment. The empirical results, all half-life of 9 weeks, 52 weeks or 105 weeks, investor sentiment and technical indicators were tested significantly related, but more than the three-month-day rate of return on the Taiwan stock market return and investor sentiment indicators showed a significant negative correlation. The empirical results of this paper show that, for technical analysis indicators can successfully capture the change of investor sentiment, which can predict future stock returns performance. Consistent with the expected results.

APA, Harvard, Vancouver, ISO, and other styles

33

Chao, Yen-Chi, and 趙彥綺. "The Effect for Various Sentiment Indicators in Returns and Volatilities Processes." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/90121131000693167218.

Full text

Abstract:

碩士
國立高雄第一科技大學
財務管理所
98
This article investigates the relation between investor sentiment, stock return and stock volatility. And study the lead-lag relation between investor sentiment and stock return. Baker and Wurgler (2006) suggests that use principal component analysis (PCA) to attain investor sentiment, and use GARCH model to study the relation between investor sentiment, stock return and stock volatility, and use VAR model to study the lead-lag relation between investor sentiment and stock return. Our empirical result suggests that investor sentiment significant impact on stock return, and investor sentiment effects stock volatility will vary because of different industries. Investor sentiment interaction with stock return.

APA, Harvard, Vancouver, ISO, and other styles

34

Hsieh, Tsung-Nan, and 謝宗男. "A Hybrid Genetic-Fuzzy Stock Selection Model Using Investor Sentiment Indicators." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/38234691176634059678.

Full text

Abstract:

碩士
國立高雄大學
資訊工程學系碩士班
100
In this thesis we present a study of hybrid genetic-fuzzy stock selection models using investor sentiment indicators. We first propose two basis strategies for the construction of stock selection models according to the degrees of optimism or pessimism of investors on the stocks. The genetic algorithms (GA) and fuzzy membership functions are then employed for optimization and flexibility of the models, respectively. In order to remove the constraint imposed by the pre-specified sentiment indicators, we further extend our models by using the GA to automatically determine the relationship between these indicators and future returns of stocks. Through our proposed stock selection models, the empirical results show that the model of buying pessimistic stocks outperforms the benchmark as well as the one of buying optimistic stocks. We also show that our proposed scheme for the GA-based free indicator model can further improve upon the two classes of the models using the pre-specified investor sentiment indicators.

APA, Harvard, Vancouver, ISO, and other styles

35

Huang, Pin-Hsuan, and 黃品瑄. "The Relationship between Sentiments of Social Media and Economic Indicators." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/n78rze.

Full text

Abstract:

碩士
國立中央大學
企業管理學系
107
Gross National Happiness (GNH) has been a popular issue since King of Bhutan, King Jigme Singye Wangchuck declared in 1972, ‘Gross National Happiness is more important than Gross Domestic Product.’ Since then, GNH is discussed by multiple researchers. Their researches are to determine its accuracy and the representative. Many Countries have announced taking this indicator to be one of the national performance review indexes. In year 2013, Taiwan has considered GNH as one of the performance review indexes. Among 2013 to 2018, Taiwan’s Happiness scores have been rising. Taiwan is now the happiest country in Asia. Nonetheless, there’s no research shows that it can actually represent Taiwanese happiness emotion. In order to testify this issue, we took 3600 articles from one of Taiwan most used social media- Gossiping board of PPT, to identify Taiwanese emotion among 2015 to 2017. We used Sentiment Analysis to calculate the monthly sentiment score of the media. In the end, we found that Taiwanese Sentiment scores among social media are rising as well as GNH scores. Despite they do not match the exact same route, they are going the same direction. Other than that, we used regression analysis to find out which one of GDP growth rate, GNI growth rate, unemployment rate and inflation rate are having positive correlation with social media’s sentiment scores. In the research, we found that GDP growth rate and GNI growth rate are having significantly positive correlation with the sentiment scores. We can then use our conclusion to determine that social media’s sentiment score can probably be one of the leading indicators of Economic indexes.

APA, Harvard, Vancouver, ISO, and other styles

36

Yeh, Sung-Fu, and 葉松福. "Market Sentiment Indicators and Stock Returns a Case Study in Financial Tsunami." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/22516239932430288106.

Full text

Abstract:

碩士
國立高雄應用科技大學
金融資訊研究所
98
Recent behavioral finance studies focused on the emerging issue of investor market sentiment. The present study may be divided into three directions for discussion: First, this study investigated the interactions between the rate of return in the Taiwan stock market and various market sentiment indices. Second, this study explored the differences in the influence of the sentiment indices in the securities market and options market on the rate of return in the Taiwan stock market. Last, the fluctuations of sentiment indices and the rate of return during the financial crisis period were discussed. The empirical findings are as follows: (1) The influence of the market sentiment indices on the rate of return is insignificant; (2) The influence of the sentiment index in the options market on the rate of return is significantly greater than that of the sentiment index in the securities market; (3) The influence of VIX index for TAIEX options on the fluctuations of the rate of return at the early stages of the financial crisis is significantly greater than that at the later stages of the financial crisis; and (4) The ratio of margin loan balance to stock loan balance exhibits a significant and highly negative correlation at the earlier stages of the financial crisis, while the correlation is not significant at the later stages of the financial crisis.

APA, Harvard, Vancouver, ISO, and other styles

37

Su, Yi-Hsin, and 蘇怡心. "The Comovement of Investor Sentiment, Stock Market Return, and Business Cycle Indicators." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/03657033265429270830.

Full text

Abstract:

碩士
世新大學
財務金融學研究所(含碩專班)
102
People are always prone to be influenced by emotional and unrelated factors when they make everyday decisions. Many studies have shown that the effect of investor sentiment on investment decision-making, firm performances, and stock returns are far beyond our imagination. Although there are different ways to measure investor sentiments, their effects on stock market returns and the economic future trends are significant. This study investigates the dynamic relationships of investor sentiment, stock market returns, and business cycle indicators, especially in analyzing their comovement patterns. In this study, Granger causality test, correlation analysis, cross-correlation analysis and vector autoregression model (VAR) are used to examine whether there exist relations or comovements between the Taiwan e-investor sentiment and stock market returns or business cycle indicators. The empirical results show that there is a statistically significant positive relation between Taiwan e-investor sentiment and stock market returns, and stock market returns may lead investor sentiment.

APA, Harvard, Vancouver, ISO, and other styles

38

Yan, Jr-Hung, and 顏志泓. "Volatility Forecasting Recruiting Sentiment Indicators and Its Application on Volatility Trading Strategies." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/gn5847.

Full text

Abstract:

碩士
銘傳大學
財務金融學系碩士班
96
The forecast of volatility play an important role in the asset allocation, hedge, risk management, derivative pricing and volatility trading strategy. This research based on the historical volatility model (daily high-low range, daily realized volatility and absolute daily returns) by referring to Engle and Gallo (2006), and Wang, Keswani and Taylor (2006) analyzed the relationships between stock market returns, volatility and indicators of investor sentiment. Our study is to answer the question whether sentiment indicators can be used to improve the forecasting efficiency of future volatility. This research construct the sentiment indicators in the spot and derivatives markets of Taiwan including the ARMS index, option volatility index(VIX), put-call trading volume ratio(PCV) and put-call open interest ratio(PCO). The data was quoted the intra data on the TXO from Jan,2,2003 to Dec,31,2007. Forecasting the variation of volatility at 5, 10, 15 ahead of settlement day. In accordance with the forecasting result built the buying/selling strangle strategy. The empirical results show that the volatility-forecast model using sentiment indicators can not reduce the forecasting error observably, but built the option trading strategy based on the result could has accumulation return. This result confirms the volatility-forecast model using sentiment indicators can improve the performance of volatility-forecast and volatility Trading Strategies.

APA, Harvard, Vancouver, ISO, and other styles

39

Chun, Chiu-Shih, and 邱世鈞. "The Effect of Sentiment Indicators on Return of Taiwan Stock Index Futures." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/14093801910686306130.

Full text

Abstract:

碩士
國立中興大學
財務金融系所
97
As the fast development of the derivatives tradable market in Taiwan, the futures market becomes mature in recent years. Especially for TXO, the function of hedging, arbitrage and speculate have favored investors and institutional Investors. Thus, this paper examine the open interest of call and put , and I integrate the measures of OI options and OI options variability. By using this two measures , futures share turnover, the standard deviation of near-by futures returns, the ex-day futures returns and NASDAQ index, I provide a trade strategy in investing TAIFEX. In my empirical investigation, I find that the OI options variability should be negatively related to futures returns, that is OI options variability has the predictable power. It’s implies that using this trade strategy from 2002 to2008, short futures and deliver in three days about 287times when informed the signal, the average returns will be 0.965%.And the strategy carries off profit.

APA, Harvard, Vancouver, ISO, and other styles

40

Wang, Chung-Ren, and 王中仁. "Relationship of Sentiment Indicators and Futures and Stock Markets with Trading Simulation of Volatility." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/17683632198776524428.

Full text

Abstract:

碩士
國立中興大學
企業管理學系所
97
“When Wang wins the game, the stock market will be bullish?” It is a phenomenon that traditional finance can not explain. But we can think of it by behavioral finance, and the phenomenon perhaps is related to investor’s sentiment a lot. The past researches focused on whether sentiment indicators affected stock return, but fewer researches examined their relationship. This study applies the VAR model to explore the relationship of sentiment indicators and futures and stock markets. Besides, this study compares two models to test whether the results are similar or not. Finally, this study makes a trading simulation of volatility in futures market by testing if volatility index as a trading signal can bring up extra profit or not. The results show that: (1) Regardless of Granger Causality test, Variance Decomposition and Impulse Response Function, futures and stock returns affected sentiment indicators more significantly than sentiment indicators affected futures and stock returns. (2) Short-term relationships between futures and stock markets do not exist obvious difference. (3)Two results of trading simulation indicate if we adopt trading simulation of adverse indicators, we will obtain positive returns.

APA, Harvard, Vancouver, ISO, and other styles

41

Huang, Yu-Wei, and 黃禹崴. "The Impact of Investor Sentiment Indicators and Taiwan Stock Market Return – An Example of TAIEX." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/fp3pwg.

Full text

Abstract:

碩士
國立臺灣科技大學
財務金融研究所
107
In behavioral finance, investor sentiment is often investigated by researchers. This study uses daily data to examine the relationship between the investor sentiment and the return of TAIEX, and to verify whether investor sentiment can influence and can be used to forecast the trend of TAIEX. The indicators for the investor sentiment in this study includes VIX index of TXO, turnover rate, net position of three institutional investors, put/call open interest ratio of foreign investor institution, and the control variable is the return of Dow Jones Industrial Average. In this study, we first use the Augmented Dickey-Fuller Test to ensure that all series are stationary, and then use the White Test to test whether the regression model exists heteroskedasticity. Next, we employ the Newey-West HAC estimation formula to adjust the regression model. Finally, we provide a sensitivity analysis to verify the empirical results of our regression. Our findings include: 1. The indicators of investor sentiment selected in this study have a significant effect on TAIEX. 2. Investor sentiment can explain and can be used to forecast the changes of stock prices. 3. During the financial crises, investor sentiment can clearly reflect and can be employed to forecast the trend of stock prices.

APA, Harvard, Vancouver, ISO, and other styles

42

Chang, Yung-Hua, and 張永華. "Using Extended Classifier System to Forecast S&P Futures Based on Contrary Sentiment Indicators." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/27916132760876833670.

Full text

Abstract:

碩士
國立交通大學
資訊管理研究所
93
Nowadays, the complexity of economic markets has grown rapidly, so making the investment decision has become a very difficult task. Previous studies of financial time series forecasting utilized statistical approaches such as regression model, ARCH or GARCH model to predict stock or futures price. Compared to these statistical models, artificial intelligence (AI) techniques have less unrealistic assumptions and operate closer to the way of human thought. Among the AI techniques, learning classifier system (LCS) combines genetic algorithm and reinforcement learning to distinguish fit rules from the rule set and extract newer and better rules. The dynamic and evolutionary property of LCS could fit the highly uncertain environment such as financial time series. Accordingly, this thesis applies extended classifier system (XCS), the newer version of LCS, to construct a futures trading model. Although many researchers have applied AI models utilizing technical indicators as input variables to discover the price trend, relatively little research has focused on the forecasting performance of AI techniques based on sentiment indicators. The previous research showed the contrary sentiment indicators, including volatility index, put-call ratio, and trading index, have excellent predictability. Therefore, this thesis utilizes XCS to model the contrary sentiment indicators, attempting to dig out the in-depth knowledge of the financial forecasting domain. To prove that XCS based on contrary sentiment indicators could apply to forecast financial time series, the performance of XCS is compared against that of out-of-sample regression model and benchmark models, containing buy-and-hold, trend-following, and mean-reversion trading strategies. In the experiments, commissions and bid-ask spreads are accounted for on all transactions to make the experiments closer to the real transaction. The simulation and statistical results showed that XCS based on contrary sentiment indicators possesses more excellent forecasting accuracy and profits earning capability than other comparison models.

APA, Harvard, Vancouver, ISO, and other styles

43

Wang, Qun, and 王群. "Using Factorized Technical Indicators as Market Sentiment for Predicting Market Returns-Apply Transfer Function ARIMA Model." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/67637451724231060103.

Full text

Abstract:

碩士
國立臺北大學
企業管理學系
101
Most stock prediction model using traditional stock technical indicators to construct the model, but recent research indicates stock returns associated with investor sentiment, trading volume and turnover are related. This article attempts besides price index indicators, also joined associated with investor sentiment proxies, to construct the Taiwan stock market returns of predictive models. In analyzing the Taiwan stock market trading stock market index, factor analysis can effectively be eighty-three Technical indicators divided into eight factor dimensions of cumulative explain 73.927% of the variance. Eight proxies sentiment index relative to 2619 market stock returns regression analysis showed that the sentiment index and market returns have significant correlation. Then use autoregressive the mobile integrated mode (ARMA) analysis during the sequence of eight sentiment index, and use Transfer function ARMA model (TFARMA) mode analysis sentiment index relative to the length of the broader market stock returns. The results show that the eight sentiment index has a different length during impact on the broader market stock returns. Its results show to use TFARMA mode analysis sentiment index relative to the broader market stock returns appropriate fit and predictive ability.

APA, Harvard, Vancouver, ISO, and other styles

44

Su, Fang Ying, and 蘇芳瑩. "The Effect of Market Sentiment Indicators on Stock Market Volatility and Excess Returns：Empirical in Taiwan Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/67rczs.

Full text

Abstract:

碩士
長庚大學
工商管理學系
102
In this paper, VIX, ARMS, and PC as market sentiment indicators, (1) the size of the market value of listed stocks in Taiwan were divided into five equal parts, (2) the size of the share price of listed stocks in Taiwan were divided into five equal parts, (3) the Taiwan-listed stocks for industrial categories distinction between the preparate TAIEX. Use GARCH in Mean Models of sentiment indicators show when a pre-market and current pessimistic or optimistic about the preparation of the degree of influence the daily excess return and volatility. ARMS both for excess returns and volatility of the impact of the case are mostly not significant, the reason may be the ARMS index as a sentiment indicator, less suitable for the Taiwan stock market dynamics; compared with ARMS, VIX compared with the PC can capture market trends. In excess return part of the current PC does not respond immediately in the stock market, and in the end of day trading, market investors to understand their information, and then make the next issue of the judgment. The volatility part in the PC display market sentiment is optimistic or pessimistic, its volatility is symmetric.

APA, Harvard, Vancouver, ISO, and other styles

45

Chou, Cheng-Kuang, and 周政光. "The Correlation between Market Sentimental Indicators and Stock Returns－Evidence from Electronic Industry." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/57095536379697667588.

Full text

Abstract:

碩士
中原大學
企業管理研究所
100
Abstract This study examines the correlation between market sentimental indicators and electronics industry stock returns. The sample was obtained from January 1, 2008 to December 31, 2010. Multiple regression analysis, Logistic regression and Granger causality methods are employed. Empirical findings indicate that: In each model examination, the change in the net sales of professional institutional investors and stock option sales ratio could both provide reliable references. In bear market, price difference between electronics stock sales and futures can be used as the positive indicators, same as PHLX semiconductor index returns, but in the bull market only the change in the net sales of professional institutional investors have the positive. Logistic regression result also pointed out that the change in the net sales of professional institutional investors increases the market multi-thread the probability, However, stock option sales ratio reduces the market multi-thread the probability. On the other hand, in causality, the change in the net sales of professional institutional investors and PHLX semiconductor index returns are ahead of electronic stock index returns. Stock option sales ratio and short-to-long ratio, however, are opposite.

APA, Harvard, Vancouver, ISO, and other styles

46

Huang, Tou-Ju, and 黃透汝. "A Study of the Influence of Sentiment Indicators on the Returns and Risks of the China Concept Stocks in Taiwan." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/49spm2.

Full text

Abstract:

碩士
國立臺中科技大學
財務金融研究所碩士班
105
This study refers to 2,325 pieces of data from January 1, 2008 until May 31, 2017, taking samples of 26 China concept stocks, selecting and using overbought/oversold of three institutional investors, proportion of day trading, balance of margin loan and stock loan as the sentiment indicators through a GARCH (1, 1) model to empirically demonstrate sentiment indicators on China concept stocks returns and risks. First and foremost, the empirical results of all stock returns show that the overbought/oversold of three institutional investors under the long-term condition have had a significant positive impact on returns of individual stocks, which indicates the changes of overbought/oversold sentiment indicators render the returns of individual stocks a positive change. Next, the long-term proportion of day trading has a positive impact on returns of individual stocks as well, which demonstrates the day trading increases the returns. In addition, the financing balance in the long term has a causal relationship with the stock prices; however, there is an uncertainty over the future direction of share price returns. Finally, the long-term increased balance of stock loan leads to a negative trend of future share prices. The empirical results of all stock risks are shown as follows: first of all, the higher (lower) the fluctuation of overbought and oversold of three institutional investors and sentiment indicators of day trading is, the greater (smaller) the risk change in individual stocks will be, of which the overbought/oversold of dealers is most obvious. Besides, the relationship between the balance of margin/stock loan and the risk of individual stocks is not fixed under the long-term influence. Moreover, the overbought/oversold of foreign investment, overbought of dealers and day trading proportion in the traditional industries (Taiwan Cement, Uni-President Enterprises Corporation and Nan Ya Plastics) have shown a significant positive impact. Finally, the empirical results were also presented that the variance was relatively sensitive to the proportion of day trading i.e. the higher the proportion of day trading is, the higher the risk of individual stocks will be.

APA, Harvard, Vancouver, ISO, and other styles

47

Gonçalves, Barbara Maria Barreiros. "Macroeconomic risk in commodities market." Master's thesis, 2016. http://hdl.handle.net/10362/16700.

Full text

Abstract:

The thesis studies the presence of macroeconomic risk in the commodities futures market. I present strong evidence that there is a strong relationship between macroeconomic risk and individual commodities future returns. Furthermore, long-only trading strategies seem to be strongly exposed to systematic risk, while long-short trading strategies (based on basis, momentum and basis-momentum) are found to present no such risk. Instead, I found a strong sentiment exposure in the portfolio returns of these long-short strategies, mainly during recessions. The advantages of following long-short strategies become even clearer when analyzing different macroeconomic regimes.

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic 'Sentiment Indicator'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles