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

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，风险不一致的投资者在面对未知事件时可能表现出行为偏差，其交易行为可能对波动结构产生显著影响。

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.