A Research on the Measurement of Market Sentiment with AHP and FX Daeler's Behavioral Biases

运用AHP和FX Daeler行为偏差测量市场情绪的研究

• 批准号: 18330070
• 负责人: SUSAI Masayuki
• 金额: $ 11.23万
• 依托单位: Nagasaki University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B)
• 财政年份: 2006
• 资助国家: 日本
• 起止时间: 2006 至 2009
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-18330070/
• 关键词: マーケットセンチメント; AHP投資行動バイアス; 市場のミクロ構造; 超高頻度データ; 外国為替市場; オーダーフロー; リーマンショック; 市場のセンチメント; 多変量非線形時系列モデル; AHP; 投資行動バイアス; 高頻度データ

In this research, we are exploring the relations between behavioral biases of investors and market sentiment through the analysis with quantitative and qualitative data such as ultra high frequent data, survey and hearing. From the survey and hearing to the Fund Managers in financial institutions in Tokyo market, we find that there exists the difference between risk perception and risk attitude even in professional investors. Among the investors showing inconsistency between risk perception and risk attitude, we can point out the behavioral biases. The tendency above is obvious especially in the market that unknown event occurs. From the econometric analysis with ultra high frequent FX data, we find that the volatility structure in FX market is different when unknown event such as Lehman's shock occurs. Therefore, we conclude that investors with risk inconsistency can be showing behavioral biases when they face the unknown event, and the dealings by such investors may have significant impact on volatility structure.

本研究通过对超高频数据、问卷调查和听证会等定量和定性数据的分析，探讨了投资者行为偏差与市场情绪的关系。通过对东京市场金融机构基金经理的调查和听证，发现即使是专业投资者，其风险认知和风险态度也存在差异。在风险感知与风险态度不一致的投资者中，我们可以指出行为偏差。上述趋势在市场上尤其明显，因为市场上发生了一些未知的事件。通过对超高频外汇数据的计量分析，我们发现当雷曼危机等未知事件发生时，外汇市场的波动结构会发生变化。因此，我们得出的结论是，风险不一致的投资者在面对未知事件时可能会表现出行为偏差，并且此类投资者的交易可能会对波动率结构产生重大影响。

项目成果

Volume or Order Flow? Which contains more information in really traded Yen/Dollar Foreign Exchange Market with new Data Set

成交量还是订单流？

• 发表时间: 2009
• 期刊: Proceedings of the 32nd European Accounting Association Annual Congress
• 作者: Susai;M.
• 通讯作者: M.

Tokyo or New York? : Which drives East Asian Stock Markets?

东京还是纽约？

• 发表时间: 2008
• 期刊: Empirical Study on Asian Financial Markets, (M and H. Okada Eds.)(Kyushu University Press) Chap. 1
• 作者: 中村 二朗;他;松繁寿和;M. Susai
• 通讯作者: M. Susai

Empirical Analysis on the Volatility Spillover among Northeast Asian Stock Market with the effect of Bilateral Foreign Exchange Rate Fluctuation

双边汇率波动对东北亚股市波动溢出的实证分析

• 发表时间: 2006
• 期刊: proceeding of the 18^<th> Asian-Pacific Conference on International Accounting Issues
• 作者: Susai;Masayuki
• 通讯作者: Masayuki

Some of the Features of Japanese Professional Fund Managers Investment Behavior: Questionnaire-based Analysis

日本职业基金经理投资行为的一些特点：基于问卷的分析

• 发表时间: 2008
• 期刊: Proceedings of the European Accounting Association Annual Meeting
• 作者: Susai;M;H. Moriyasu;M. Hayashikawa
• 通讯作者: M. Hayashikawa

Impact of Electronic Trading on Market Efficiency: An Analysis of Nikkei 225 Futures Market in Singapore

电子交易对市场效率的影响：新加坡日经225期货市场分析

• 发表时间: 2008
• 期刊: Empirical Study on Asian Financial Market(M. Susal et. al., (eds., ))
• 作者: Susai;M;H. Moriyasu
• 通讯作者: H. Moriyasu