Jiancheng Shen, John M. Griffith, Mohammad Najand, Licheng Sun
{"title":"Predicting Stock and Bond Market Returns with Emotions: Evidence from Futures Markets","authors":"Jiancheng Shen, John M. Griffith, Mohammad Najand, Licheng Sun","doi":"10.1080/15427560.2021.1975717","DOIUrl":null,"url":null,"abstract":"Abstract We explore the ability of market emotions (fear, gloom, joy, optimism) to predict S&P 500 Index and 10-year Treasury notes futures returns by utilizing VAR and TGARCH models. In our VAR models, we find that one of four emotions (fear) has predictive power for stock index futures returns. We also find Treasury futures market returns are influenced by joy and optimism measures of emotions. Further, we employ a TGARCH model with anemotional sentiment measure (fear) and find that fear has a major effect on the market returns and conditional volatility of futures markets.","PeriodicalId":47016,"journal":{"name":"Journal of Behavioral Finance","volume":"99 1","pages":"333 - 344"},"PeriodicalIF":1.7000,"publicationDate":"2021-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Behavioral Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/15427560.2021.1975717","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 5
Abstract
Abstract We explore the ability of market emotions (fear, gloom, joy, optimism) to predict S&P 500 Index and 10-year Treasury notes futures returns by utilizing VAR and TGARCH models. In our VAR models, we find that one of four emotions (fear) has predictive power for stock index futures returns. We also find Treasury futures market returns are influenced by joy and optimism measures of emotions. Further, we employ a TGARCH model with anemotional sentiment measure (fear) and find that fear has a major effect on the market returns and conditional volatility of futures markets.
期刊介绍：
In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
