Qualitative and Quantitative Sentiment Proxies: Interaction Between Markets

Zeyan Zhao, Khurshid Ahmad

    Research output: Chapter in Book/Report/Conference proceedingArticle in proceedingsResearchpeer-review


    Sentiment analysis is a content-analytic investigative framework for researchers, traders and the general public involved in financial markets. This analysis is based on carefully sourced and elaborately constructed proxies for market sentiment and has emerged as a basis for analysing movements in stock prices and the associated traded volume. This approach is particularly helpful just before and after the onset of market volatility. We use an autoregressive framework for predicting the overall changes in stock prices by using investor sentiment together with lagged variables of prices and trading volumes. The case study we use is a small market index (Danish Stock Exchange Index, OMXC 20, together with prevailing sentiment in Denmark, to evaluate the impact of sentiment on OMXC 20. Furthermore, we introduce a rather novel and quantitative sentiment proxy, that is the use of the index of a larger market (US S&P 500), to see how the smaller market reacts to changes in the larger market. The use of larger market index is justified on economic/financial grounds in that globalisation has introduced a degree of interdependence, and allow us to explore global influences as a proxy for sentiment. We look at the robustness of our prediction. (Local) Negative sentiment (as articulated in Danish newspapers over a 7 year period (2007–2013), does have an impact on the local markets, but the global market (S&P 500) has an even greater impact.
    Original languageEnglish
    Title of host publicationIntelligent Data Engineering and Automated Learning – IDEAL 2015 : 16th International Conference Wroclaw, Poland, October 14–16, 2015, Proceedings
    EditorsKonrad Jackowski, Robert Burduk, Krzysztof Walkowiak, Michał Woźniak, Hujun Yin
    Number of pages9
    Place of PublicationCham
    PublisherSpringer Science+Business Media
    Publication date2015
    ISBN (Print)9783319248332
    ISBN (Electronic)9783319248349
    Publication statusPublished - 2015
    EventThe 16th International Conference on Intellligent Data Engineering and Automated Learning - Wroclaw University of Technology, Wroclaw, Poland
    Duration: 14 Oct 201516 Oct 2015
    Conference number: 16


    ConferenceThe 16th International Conference on Intellligent Data Engineering and Automated Learning
    LocationWroclaw University of Technology
    Internet address
    SeriesLecture Notes in Computer Science


    • Sentiment analysis
    • Equity index markets
    • Time series analysis
    • Vector Autoregressive
    • Granger causality

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