Earticle

초록

영어

We construct sentiment index with eight economic variables reflecting investor sentiment. We use kalman filter and principal component analysis to extract common factor of those variables. Two sentiment indices are similar in broad trend, but different in detailed scale. We conduct analysis with two constructed sentiment indices to investigate the relationship with two sentiment indices and the bond market risk is similar. In order to assess the relationship between investor sentiment and risk premium of bond, we conduct VAR analysis with sentiment, term premium, default premium and convexity. VAR results suggest there are significant relationships with sentiment and risk premium of bond.

목차

Abstract
 I. Introduction
 II. Literature review
 III. Measuring Investor Sentiment
  1. Data
  2. Methodology
 IV. Result
 V. Conclusion
 Acknowledgement
 Reference

키워드

저자

• Hyunjung Lee [ Korea Institute of Public Finance ]
• Changmin Lee [ Hanyang University Business School ]
• Hyoung-Goo Kang [ Hanyang University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330