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Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100

Lai Cao Mai Phuong, Vu Cam Nhung
2021 Investment Management & Financial Innovations  
Furthermore, investor sentiment has a stronger power to explain excess stock returns than their trading behavior.  ...  The purpose of this study is to examine whether investor sentiment as measured by technical analysis indicators has an impact on stock returns.  ...  (3) and (4) compare the explanatory power of general investor sentiment (model 4) and investor trading behavior (model 3) to the returns of stocks belonging to investors. • Model (5) shows the influence  ... 
doi:10.21511/imfi.18(4).2021.25 fatcat:v637xor5rfhcrlzzlgvlg6wgti

Effective options trading strategies based on volatility forecasting recruiting investor sentiment

Her-Jiun Sheu, Yu-Chen Wei
2011 Expert systems with applications  
The forecast evaluation supports the significant incremental explanatory power of investor sentiment in the fitting and forecasting of future volatility in relation to its adversarial multiple-factor model  ...  This study investigates an algorithm for an effective option trading strategy based on superior volatility forecasts using actual option price data for the Taiwan stock market.  ...  The behavioral models of securities markets posit two types of investors: rational arbitrageurs who are sentiment-free and irrational traders who are prone to exogenous sentiment.  ... 
doi:10.1016/j.eswa.2010.07.007 fatcat:u5ojrf6bejc4hokogy5lraevoy

Investor Sentiment Combined with Multisource Information to Predict Stock Prices: An Analysis of China's A-Share Market

Xin Huang, Huilin Song
2021 Scientific Programming  
Investor sentiment has been widely used in the research of the stock market, and how to accurately measure investor sentiment is still being explored.  ...  We take the data of China A-shares from January 2020 to December 2020 as the research object and propose a stock price prediction method that combines investor sentiment with multisource information.  ...  Acknowledgments is study was supported by the Natural Science Foundation of Jiangxi Province (grant no. 20212BAB202016) and the Science and Technology Research Project of Jiangxi Provincial Department  ... 
doi:10.1155/2021/9094032 doaj:a46be7ef07fd41f99aa77fa886ca3330 fatcat:ya34qukpl5bjvacu2buznseeuq

Research on the Transfer Rules of Internet Users' Negative Emotional State in Financial Public Opinion

Lei Li
2020 Open Journal of Business and Management  
This stock price forecasting method based on sentiment analysis also provides a new technical path for quantitative investment analysis in the financial market.  ...  netizens' comments on social media, interpret emotional state transaction of netizens through sentiment analysis, forming an investor's emotional states' transfer model, and incorporating the emotional  ...  After the regression analysis of stock price rise and fall, investor investment sentiment, public attention and policy, the author selected rise and fall, investor investment sentiment and policy as model  ... 
doi:10.4236/ojbm.2020.81017 fatcat:wkloshkazzcrfibp35xh35mofu

Research on Market Stock Index Prediction Based on Network Security and Deep Learning

Jiake Li
2021 Security and Communication Networks  
Traditional stock forecasting models use forecasting models based on stock time series analysis, but time series models cannot consider the influence of investor sentiment on stock market changes.  ...  In order to use investor sentiment information to make more accurate stock market forecasts, this paper establishes a stock index forecast and network security model based on time series and deep learning  ...  Market Stock Index Forecast Analysis Simulation Environment and Data.  ... 
doi:10.1155/2021/5522375 doaj:a3ccf30ed5a54a17a09bd03828c3be76 fatcat:gmijvkg2hngtrm7ktrpgfjxpua

Forecasting Returns with Fundamentals-Removed Investor Sentiment

Adam Stivers
2015 International Journal of Financial Studies  
Removing this fundamental component from the Baker and Wurgler index creates an index of investor sentiment that may better capture irrational sentiment.  ...  index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals.  ...  Excess market return is forecasted using the appropriate variable above.  ... 
doi:10.3390/ijfs3030319 fatcat:iwgntm7qc5dvrd4nq5o7quo6i4

LSTM-based sentiment analysis for stock price forecast

Ching-Ru Ko, Hsien-Tsung Chang
2021 PeerJ Computer Science  
, is applied to forecast the stock price with stock historical transaction information and text sentiments.  ...  The news articles and PTT forum discussions are taken as the fundamental analysis, and the stock historical transaction information is treated as technical analysis.  ...  In this study, we will simultaneously integrate news articles and forum posts as fundamental analysis vectors, and historical transaction data will become technical analysis vectors.  ... 
doi:10.7717/peerj-cs.408 pmid:33817050 pmcid:PMC7959635 fatcat:5yd6g3btlnegha7f5b5fdcr62i

Incorporating Research Reports and Market Sentiment for Stock Excess Return Prediction: A Case of Mainland China

Huilin Song, Diyun Peng, Xin Huang
2020 Scientific Programming  
This article takes the data of Chinese A-shares from July 2014 to September 2017 as the research object, and proposes a method of stock excess return forecasting that combines research reports and investor  ...  The proposed method measures individual stocks released by analysts, separates the two indicators of research report attention and rating sentiment, calculates investor sentiment based on external market  ...  [13] emotion vectors are obtained through sentiment analysis of news articles, and sentiment vectors are added to the LSTM model to predict stock prices. e experiments on the Hong Kong stock market  ... 
doi:10.1155/2020/8894757 fatcat:hw7h4dko6nenth3ezx5zhg2qlu

Modeling and Prediction of Stock Price with Convolutional Neural Network Based on Blockchain Interactive Information

Wei Zhang, Ke-xin Tao, Jun-feng Li, Yan-chun Zhu, Jing Li, Hongju Cheng
2020 Wireless Communications and Mobile Computing  
Combined with investors' emotional features, the stock price prediction model based on long short-term memory is proposed.  ...  With the contextual information fusion, a sentiment computing model based on a convolutional neural network is established to extract and quantify the emotional features of blockchain interactive information  ...  Stock Price Prediction Model Based on Sentiment Analysis Our work, as illustrated in Figure 1 , includes media data acquisition (building text corpus), data preprocessing, sentiment analysis, trade data  ... 
doi:10.1155/2020/6686181 fatcat:i5komt5pnzazxkh2x5dwbrqzma

Study of Stock Markets and Investor Behaviour: Case of the Casablanca Stock Exchange

Dahhou Nabil, Kharbouch Omar
2021 International Journal of Advances in Scientific Research and Engineering  
of investors' sentiment on the Moroccan stock market, to verify that the indicator of investors' sentiment is consistent with stock market crises and to find that investors' sentiment is at the origin  ...  financial theory, has opened up several avenues of research related to the behavior of stock market actors and their effects on stock markets.  ...  to the decrease in stock market indices and an increase in transactions.  ... 
doi:10.31695/ijasre.2021.33988 fatcat:wo654rdy7jccxg7j2vhqmii64m

Role of Social Sentiment Analysis in Stock Trends Forecasting

2019 International journal of recent technology and engineering  
Forecasting Financial Market is considered to be one of the significant applications of Sentiment Analysis on Social Data like Face book, Twitter.  ...  This paper gives the survey on the various techniques, tools and methodologies adopted by several researchers on Stock Market Prediction based on sentiment analysis of Social networks  ...  The use of sentiment analysis and attention indicators that retrieved from micro blogs in forecasting changes in stock movement was studied in "The impact of micro blogging data for stock market prediction  ... 
doi:10.35940/ijrte.b1030.0782s519 fatcat:farswv57gbclhkim7p6rqg7u3q

The Relation between Confidence Climate and Stock Returns: The Case of Turkey

Süleyman Kale, Murat Akkaya
2016 Procedia Economics and Finance  
This study examines the relations between consumer confidence, reel sector confidence and five different stock indices (aggregate, financial, industrial, service and technological) with VAR models.  ...  Michigan University Sentiment Index, VIX volatility index and GFK Germany Consumer Climate Index are also associated into the models to investigate international effects.The results suggest that, there  ...  Finally, he stated that the impact of sentiment on stock returns was higher for countries which have less market integrity and which were culturally more prone to herd-like behavior and overreaction.  ... 
doi:10.1016/s2212-5671(16)30186-1 fatcat:xh6t4nndkrd7doiex5fzuajh4a

Forecasting Stock Market with Social Media Sentiment Based on Adaptive Network Fuzzy Inference System

SHEN-LIN JIANG, WEI-JIE WU
2019 DEStech Transactions on Economics Business and Management  
The experiments using data from both social media and stock markets-the Sina Weibo and the Shanghai Stock Market-to train and evaluate the change in trend for the next trading day, with the "buy and hold  ...  It has a good ability to deal with uncertain and imprecise systems and is suitable for application in stock market forecasting.  ...  Experiments Analysis Data Description and Evaluation Criteria As the CSI 300 index can better reflect the trend of China's stock market, we chose the CSI 300 index for the analysis of the object.  ... 
doi:10.12783/dtem/ssemr2019/30867 fatcat:5rkjaff2zjaflgdhqrbax4ivwe

A novel deep reinforcement learning based stock price prediction usingknowledge graph and community aware sentiments

ANIL BERK ALTUNER, ZEYNEP HİLAL KİLİMCİ
2022 Turkish Journal of Electrical Engineering and Computer Sciences  
After that, time series analysis of related stock and sentiment analysis is blended with deep reinforcement methodology.  ...  Stock market prediction has been an important topic for investors, researchers, and analysts. Because it is affected by too many factors, stock market prediction is a difficult task to handle.  ...  Sentiment analysis of financial text has been an important and active research topic for analysts and investors in forecasting stock prices or directions.  ... 
doi:10.55730/1300-0632.3862 fatcat:gczczsjggvdezevs4rpmzlwa2y

How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data

Mohamed Zouaoui, Geneviève Nouyrigat, Francisca Beer
2011 The Financial Review  
The impact of investor sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior and overreaction or in countries with low institutional involvement  ...  We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises.  ...  Most of these models used discriminant analysis and logit/probit models.  ... 
doi:10.1111/j.1540-6288.2011.00318.x fatcat:ssf6mhz7nja3xljrmg3b472xfu
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