Finding Evidence of Irrational Exuberance in the Oil Market

机译：发现石油市场中非理性令人满意的证据

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The availability of novel information may significantly affect the evolution of asset prices. Nonetheless, investors are influenced not only by the quantitative facts but also by the textual content of news disclosures. In this paper, we examine whether news reception in the oil market is time-dependent using a rolling window regression. Our findings suggest that news reception does indeed have a significant effect on returns and we further find evidence for exaggerated news reception as it comes along with a feedback loop. Thus, we succeed in measuring the situation Shiller terms "irrational exuberance".

机译：新颖信息的可用性可能会显着影响资产价格的演变。尽管如此，投资者不仅受到量化事实的影响，而且受到新闻披露的文本内容。在本文中，我们检查油价的新闻接收是否与滚动窗口回归有时间依赖。我们的研究结果表明，新闻招待会确实对返回产生了重大影响，我们进一步找到了夸大的新闻接收的证据，因为它与反馈回路一起出现。因此，我们成功地测量了“非理性富裕”的情况。

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《International workshop on enterprise applications and services in the finance industry》|2015年||共12页
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作者
Antal Ratku; Stefan Feuerriegel; Fethi A. Rabhi; Dirk Neumann;
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原文格式 PDF
正文语种
中图分类电子贸易、网上贸易;
关键词
Irrational exuberance; Information processing; Oil market; Rolling window regression; Sentiment analysis;

机译：不合理的繁荣;信息处理;石油市场;滚动窗口回归;情绪分析;

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2. Irrational exuberance in the Chinese iron ore market? [J] . Etienne Xiaoli L. Applied economics letters . 2017,第16a18期

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3. ‘Irrational exuberance’ seen on US LNG exports as market dynamics shift for overseas buyers [J] . Maya Weber Platts Inside FERC . 2015,第1005期

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4. Finding Evidence of Irrational Exuberance in the Oil Market [C] . Antal Ratku, Stefan Feuerriegel, Fethi A. Rabhi, International workshop on enterprise applications and services in the finance industry . 2015

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Finding Evidence of Irrational Exuberance in the Oil Market

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