Sentiment Across Asset Markets

45 Pages Posted: 11 Jun 2018 Last revised: 24 Jun 2018

See all articles by Dashan Huang

Dashan Huang

Singapore Management University - Lee Kong Chian School of Business

Heikki Lehkonen

University of Jyväskylä - School of Business and Economics

Kuntara Pukthuanthong

University of Missouri, Columbia

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School

Date Written: May 25, 2018

Abstract

In this paper, we study investor sentiment in five major asset markets: stocks, bonds, commodities, currencies, and housing. Based on Thomson Reuter's sentiment measures extracted from 235 news and social media sources, we find that each market is predicted by its own sentiment. Cross-markets, kitchen sink regressions reveal that the stock market is influenced only by bond sentiment, while bond market is affected just by currency market, which is largely unexplained by others; the commodities are related to currencies and housing, and housing can be predicted by stock and bond sentiment. In an efficient information aggregation by the partial least square (PLS), the predictability of each market increases substantially by using information of all markets vs using only its own sentiment.

Keywords: Sentiment

JEL Classification: G12, G14

Suggested Citation

Huang, Dashan and Lehkonen, Heikki and Pukthuanthong, Kuntara and Zhou, Guofu, Sentiment Across Asset Markets (May 25, 2018). Available at SSRN: https://ssrn.com/abstract=3185140 or http://dx.doi.org/10.2139/ssrn.3185140

Dashan Huang

Singapore Management University - Lee Kong Chian School of Business ( email )

50 Stamford Road
Singapore, 178899
Singapore

HOME PAGE: http://dashanhuang.weebly.com/

Heikki Lehkonen

University of Jyväskylä - School of Business and Economics ( email )

PO Box 35
University of Jyväskylä
Jyväskylä, FIN-40014
Finland

Kuntara Pukthuanthong

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: https://www.kuntara.net/

Guofu Zhou (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( email )

Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)

HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/

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