Investigating the Relationship Between the Emotion of Blogs and the Price of Index Futures

• Main Authors: Yan-hao Gao, 高延豪
• Other Authors: Ping-Yu Hsu
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/46739258017076624071

碩士 === 國立中央大學 === 企業管理學系 === 105 === As the financial derivatives tradable market developed quickly in Taiwan, the trading volumes in futures grow quickly in recent years. At the same time, many people post and shared opinion on social media. Many research in economics and behavioral finance have posited and confirmed that investors‟ mood is correlated with the performance of financial market. Several research have been devoted to study the relationship between the volatility of financial market and sentiments expressed in social media. On the other hand, even though emotion can describe the feeling of people more precisely than sentiment, to the best of our knowledge, only one research has tried to discover the relationship between futures performance and emotion fluctuation. The research tracked the evolvement of specific events and the changes of emotion as the time elapsed and observed that emotion changes are related to stock performance. Instead of tracking long term emotional fluctuation, this study strived to predict price change of derivatives with emotion expressed in social media in previous day. The result confirmed emotions such as “Good”, “Fear” and “Disgust” are highly correlated with Taiwan index futures price change.