股票回报和市场情绪

IF 0.6 Q4 STATISTICS & PROBABILITY

Dependence Modeling Pub Date : 2022-01-01 DOI:10.1515/demo-2022-0109

Zibin Huang, R. Ibragimov

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引用次数: 1

摘要

摘要本文分析了推特上约100 GB的原始文本数据，关键词为“AAPL”、“标准普尔500指数”、“富时100指数”和“纳斯达克”，以探讨情绪与苹果股票、标准普尔500、富时100和纳斯达克指数的回报和价格之间的关系。研究结果表明，情绪指标与标准普尔500指数和富时100指数的回报率和价格之间存在显著关系和依赖性。为了说明所采用的方法，本文详细介绍了上述变量之间相关性的计量经济学分析。

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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Equity returns and sentiment

Abstract This paper analyzes approximately 100 Gigabytes of raw text data from Twitter with keywords “AAPL,” “S&P 500,” “FTSE100” and “NASDAQ” to explore the relationship between sentiment and the returns and prices on the Apple stock and the S&P 500, FTSE 100 and NASDAQ indices. The findings point to significant relationship and dependence between sentiment measures and the S&P 500 and FTSE 100 indices’ returns and prices. The econometric analysis of dependence between the aforementioned variables in the paper is presented in some detail for illustration of the methodology employed.

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来源期刊

Dependence Modeling STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 weeks

期刊介绍： The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling. It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide. Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math. The journal presents different types of articles: -"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields. -"Review Articles" which present the existing literature on the specific topic from new perspectives. -"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling. The journal topics include (but are not limited to):　 -Copula methods -Multivariate distributions -Estimation and goodness-of-fit tests -Measures of association -Quantitative risk management -Risk measures and stochastic orders -Time series -Environmental sciences -Computational methods and software -Extreme-value theory -Limit laws -Mass Transportations