Predicting Stock and Bond Market Returns with Emotions: Evidence from Futures Markets

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2021-09-13 DOI:10.1080/15427560.2021.1975717

Jiancheng Shen, John M. Griffith, Mohammad Najand, Licheng Sun

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.

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用情绪预测股票和债券市场回报:来自期货市场的证据

摘要本文运用VAR和TGARCH模型，探讨市场情绪(恐惧、悲观、喜悦、乐观)对标普500指数和10年期美国国债期货收益的预测能力。在我们的VAR模型中，我们发现四种情绪中的一种(恐惧)对股指期货收益具有预测能力。我们还发现，美国国债期货市场的收益受到喜悦和乐观情绪指标的影响。进一步，我们采用带有情绪度量(恐惧)的TGARCH模型，发现恐惧对市场收益和期货市场的条件波动率有主要影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

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.