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

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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.