A New Investor Sentiment Index Model and Its Application in Stock Price Prediction and Systematic Risk Estimation of Bull and Bear Market

Zhang, Qiansheng

doi:10.11648/j.ijfbr.20190501.11

Cited by 3 publications

(2 citation statements)

References 10 publications

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“…The structural differences between bull and bear markets have been widely discussed. Zhang et al [41] used VaR and CoVaR models to build a new investor sentiment index and applied it to predict stock prices and estimate systematic risks in bull and bear markets. Wen et al [42] adopted Pearson's correlation and the copula model to investigate the structural characteristics of equity markets in Europe, Asia, and Africa.…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy

Chen

Wang

et al. 2021

Entropy

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The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion. Based on daily stock returns in the Shanghai Stock Exchange (SSE) A-shares, this paper divides the period between 2005 and 2018 into eight bull and bear market stages to investigate interactive patterns in the Chinese financial market. We employ the Least Absolute Shrinkage and Selection Operator (LASSO) method to construct the stock network, compare the heterogeneity of bull and bear markets, and further use the Map Equation method to analyse the evolution of modules in the SSE A-shares market. Empirical results show that (1) the connected effect is more significant in bear markets than bull markets and gives rise to abnormal volatilities in the stock market; (2) a system module can be found in the network during the first four stages, and the industry aggregation effect leads to module differentiation in the last four stages; (3) some stocks have leading effects on others throughout eight periods, and medium- and small-cap stocks with poor financial conditions are more likely to become risk sources, especially in bear markets. Our conclusions are beneficial to improving investment strategies and making regulatory policies.

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Section: Literature Reviewmentioning

confidence: 99%

Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy

Chen

Wang

et al. 2021

Entropy

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“…When markets drop, investors search for alternatives which could provide a safe haven for their money or to protect their portfolios against devastating losses. This was evident during the outbreak of the financial crisis in 2007 and the consequent market shock, which has also sparked a tremendous decline in equity prices (Zhang et al 2019 ). Investors have shifted their funds from equity to other asset classes, including commodities.…”

Section: Introductionmentioning

confidence: 99%

Sugar Futures as an Investment Alternative During Market Turmoil: Case Study of 2008 and 2020 Market Drop

Babirath¹,

Schmitl²,

Sahatqija

et al. 2020

Sugar Tech

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In times of turbulent financial markets, investors all around the globe seek for opportunities protecting their portfolios from devastating losses. Historically, commodities were regarded as a safe haven providing sound returns which offset potential losses arising from dropping equity prices in times of market turmoil. While sugar would have provided a proper hedge against crashing equity markets during the initiation of the 2007 bear market and the onset financial crisis, sugar prices dropped likewise equity during the outbreak of COVID-19 and the consequent market shock. The goal of the paper is to elaborate on the differences in sugar price dynamics during the aforementioned economic disruptions by employing a multiple linear regression approach using data from the last quarter 2007 as well as the first quarter of 2019. The findings suggest that the behavioral differences stem from the deep link between oil and sugar prices. While oil did not influence the price of sugar during the outbreak of the financial crisis, it had tremendous influence on sugar prices during the outbreak of the corona crisis. Currently, sugar provides a substantial upside for an investor's portfolio since the demand and supply-side shock on oil prices due to corona crisis as well as the Saudi-Russian oil price war drove oil prices and consequently sugar prices to a historic low. Sugar futures provide the advantage of offering a smaller contract size compared to oil futures, and even though both commodities trade in contango as of March 2020, the sugar future curve is by far not as steep as the oils. Resultingly, investors benefit from lower rollover costs while prospering from a potential surge in oil prices.

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Agricultural commodities market reaction to COVID-19

Iuga,

Mudakkar,

Dragolea

2024

Research in International Business and Finance

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A New Investor Sentiment Index Model and Its Application in Stock Price Prediction and Systematic Risk Estimation of Bull and Bear Market

Cited by 3 publications

References 10 publications

Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy

Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy

Sugar Futures as an Investment Alternative During Market Turmoil: Case Study of 2008 and 2020 Market Drop

Agricultural commodities market reaction to COVID-19

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