使用情绪分析预测富时100指数的回报和波动性

Mark Johnman, B. Vanstone, A. Gepp
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引用次数: 27

摘要

我们使用卫报媒体集团在2000年1月1日至2016年6月1日期间发表的商业新闻文章,研究了积极和消极情绪对富时100指数每日超额回报和波动性的统计和经济影响。分析表明,虽然针对散户的商业新闻情绪不会影响富时100指数的超额收益,但会影响波动性,负面情绪会增加波动性,积极情绪会降低波动性。此外,基于这些发现的ETF交易策略的表现优于单纯的买入并持有方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Predicting FTSE 100 Returns and Volatility Using Sentiment Analysis
We investigate the statistical and economic effect of positive and negative sentiment on daily excess returns and volatility in the FTSE 100 index, using business news articles published by the Guardian Media Group between 01/01/2000 and 01/06/2016. The analysis indicates that while business news sentiment derived from articles aimed at retail traders does not influence excess returns in the FTSE 100 index, it does affect volatility, with negative sentiment increasing volatility and positive sentiment reducing it. Further, an ETF‐based trading strategy based on these findings is found to outperform the naive buy‐and‐hold approach.
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