| Journal: | BAR - Brazilian Administration Review |
| Database: | CLASE |
| System number: | 000496283 |
| ISSN: | 1807-7692 |
| Authors: | Paraboni, Ana Luiza1 Righi, Marcelo Brutti2 Vieira, Kelmara Mendes3 Silveira, Vinícius Girardi da3 |
| Institutions: | 1Universidade Federal de Santa Catarina, Programa de Pos-Graduacao em Administracao, Florianopolis, Santa Catarina. Brasil 2Universidade Federal do Rio Grande do Sul, Porto Alegre, Rio Grande do Sul. Brasil 3Universidade Federal de Santa Maria, Departamento de Ciencias Administrativas, Santa Maria, Rio Grande do Sul. Brasil |
| Year: | 2018 |
| Season: | Ene-Mar |
| Volumen: | 15 |
| Number: | 1 |
| Country: | Brasil |
| Language: | Inglés |
| Document type: | Artículo |
| Approach: | Analítico, descriptivo |
| English abstract | This article estimates association coefficients between measures of market sentiment and risk in the U.S., German and Chinese markets. In terms of risk, four measures were considered: standard deviation, value at risk, expected shortfall and shortfall deviation risk. For market sentiment, data was collected using the Psych Signal technology, which is based on the behavior of investors on social networks. The results indicate significant statistical associations, with the direction of association having financial meaning. Moreover, the empirical findings are valid for all risk measurements. The results are in keeping with the Prospect Theory, since in moments when the sentiment indicates low liquidity (a negative value for the difference between Bullish and Bearish Intensities) investors try to reduce the negotiation volume, which has a positive impact on risk. On the other hand, under the inverted scenario, when sentiment indicates high liquidity, there is an increase in the negotiation volume and a consequent decrease in risk. This article is important because its observations of market sentiment as measured by social media data show a consistent relationship with measures of financial risk |
| Disciplines: | Economía |
| Keyword: | Condiciones económicas, Estados Unidos de América, Alemania, China, Mercados financieros, Percepción de riesgos, Finanzas del comportamiento |
| Full text: | https://biblat.unam.mx/hevila/BARBrazilianadministrationreview/2018/vol15/no1/2.pdf |
