The Applications of Investor Sentiment to the Dynamics of Crude Oil, Gold and U.S. Dollar Future

• Main Authors: HUANG,WAN-TING, 黃婉婷
• Other Authors: WANG,KAI-LI
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/33896943376780052450

碩士 === 東海大學 === 財務金融學系 === 99 === In view of investor sentiment on market returns and volatility of the potential impact, this study first attempts to use Engle's Dynamic Conditional Correlation multivariate DCC-GJR-GARCH model to assess the impact of investor sentiment on Value at risk (VaR) performance. Four kinds of investor sentiment variables are hedger, speculator, extreme large trader and the top eight large institutional investors’ sentiment, this study measures different investors sentiment impact of the estimated risk value. The empirical results show that the sentiment of hedger is the contract indicator of the changes of market price. Speculators’ sentiment is highly positive related with market returns. As for the sentiment of extreme large trader, changes in market prices of crude oil are affected more by hedgers than speculators. Speaking of gold and the dollar index market, the hedgers were affected more than speculators. Besides, the sentiments of the top eight institutional investors have negative impact to market return. It shows that top eight institutional investors are mainly hedgers. Finally, sentiments of the top eight institutional investors can correctly estimate the value of risk most, in this way, investors or market participants can control risky assets more effectively.