The Relationship between Sentiment and Risk in Financial Markets

The Relationship between Sentiment and Risk in Financial Markets

This article estimates association coefficients between measures of market sentiment and risk in the U.S., German and Chinese markets. In terms of risk, four measures were considered: standard deviation, value at risk, expected shortfall and shortfall deviation risk. For market sentiment, data was...

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Bibliographic Details
Main Authors: Ana Luiza Paraboni, Marcelo Brutti Righi, Kelmara Mendes Vieira, Vinícius Girardi da Silveira
Format: Article
Language:English
Published: Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) 2018-03-01
Series:BAR: Brazilian Administration Review
Subjects:
risk management
measures of risk
market sentiment
behavioral finance
Online Access:http://www.scielo.br/pdf/bar/v15n1/1807-7692-bar-15-01-e170055.pdf

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