By using GARCH（1,1）-M and EGARCH（1,1）-M models, the relationships among funds speculation transaction, arbitrage transaction and the fluctuation of international copper future price were studied. The news impact c...By using GARCH（1,1）-M and EGARCH（1,1）-M models, the relationships among funds speculation transaction, arbitrage transaction and the fluctuation of international copper future price were studied. The news impact curve of copper future price fluctuation respectively introduced funds speculation position and arbitrage position was given, and the result is consistent with the empirical study conclusion. The results show that investment funds are not the factor that causes copper future price fluctuation, but can reduce the copper future price fluctuation; the copper future price fluctuation is more sensitive to negative information, and ftmd speculative positions can reduce asymmetric effect of copper price fluctuation, while fimds arbitrage position influences less.展开更多
The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset price...The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset prices and bubbles in a simplified framework that is similar to the DSSW （1990a） model. When the underlying asset is involved with a fundamental shock, noise traders will generally overreact to it, which creates an ＂overreaction risk＂. This kind of risk will make the asset prices more volatile, and even make up asset bubbles. Therefore, asset bubbles can be regarded as a psychological phenomenon, and are actually the results of the psychological changing process of noise traders.展开更多
This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate t...This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate this topic using sentiment indices,including news-based economic and consumer-based sentiments developed using different methods.We observed the role of sentiment as a reliable indicator of future bubbles for some metal commodities and found that bubbles were regularly concomi-tant with bearish sentiments for gold and platinum.Moreover,gold and palladium were the only commodities that experienced a bubble during the COVID-19 pandemic.Overall,our findings suggest inclusion of sentiment to the model that predicts the price bubbles of precious metals.展开更多
基金Project(20090162120086) supported by Research Fund for the Doctoral Program of Higher Education of ChinaProject(10YJCZH123) supported by Humanity and Social Science Foundation of Ministry of Education of China+2 种基金Project(12JJ4077) supported by the National Natural Science Foundation of Hunan Province of ChinaProject(2009ZK3053) supported by Soft Science Research Project of Hunan Province of ChinaProject supported by the Freedom Explore Program of Central South University,China
文摘By using GARCH（1,1）-M and EGARCH（1,1）-M models, the relationships among funds speculation transaction, arbitrage transaction and the fluctuation of international copper future price were studied. The news impact curve of copper future price fluctuation respectively introduced funds speculation position and arbitrage position was given, and the result is consistent with the empirical study conclusion. The results show that investment funds are not the factor that causes copper future price fluctuation, but can reduce the copper future price fluctuation; the copper future price fluctuation is more sensitive to negative information, and ftmd speculative positions can reduce asymmetric effect of copper price fluctuation, while fimds arbitrage position influences less.
文摘The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset prices and bubbles in a simplified framework that is similar to the DSSW （1990a） model. When the underlying asset is involved with a fundamental shock, noise traders will generally overreact to it, which creates an ＂overreaction risk＂. This kind of risk will make the asset prices more volatile, and even make up asset bubbles. Therefore, asset bubbles can be regarded as a psychological phenomenon, and are actually the results of the psychological changing process of noise traders.
基金financed by United Arab Emirates University(Grand Number 31B135-UPAR-3-2020)。
文摘This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate this topic using sentiment indices,including news-based economic and consumer-based sentiments developed using different methods.We observed the role of sentiment as a reliable indicator of future bubbles for some metal commodities and found that bubbles were regularly concomi-tant with bearish sentiments for gold and platinum.Moreover,gold and palladium were the only commodities that experienced a bubble during the COVID-19 pandemic.Overall,our findings suggest inclusion of sentiment to the model that predicts the price bubbles of precious metals.
