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

  • Yen Hao Kao
  • Ping Yu Hsu
  • Ming Shien ChengEmail author
  • Hong Tsuen Lei
  • Shih Hsiang Huang
  • Yen-Huei Ko
  • Chen Wan Huang
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 10942)

Abstract

As the financial derivatives tradable market developed quickly in Taiwan, the trading volumes in futures grew quickly in recent years. At the same time, many people posted and shared opinion on social media. Many research in economics and behavioral finance have posited and confirmed that investor’s “mood” correlated with the performance of financial market. Several researches had 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. 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 that there was a significant correlation between the intensity of emotion “fear” and the market decline. When the major emotions were “good” and “sad”, the strength of emotion was significantly correlated with the change of the market price.

Keywords

Emotion analysis Social media Taiwan index futures 

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  • Yen Hao Kao
    • 1
  • Ping Yu Hsu
    • 1
  • Ming Shien Cheng
    • 2
    Email author
  • Hong Tsuen Lei
    • 1
  • Shih Hsiang Huang
    • 1
  • Yen-Huei Ko
    • 1
  • Chen Wan Huang
    • 1
  1. 1.Department of Business AdministrationNational Central UniversityJhongli CityTaiwan (R.O.C.)
  2. 2.Department of Industrial Engineering and ManagementMing Chi University of TechnologyNew Taipei CityTaiwan (R.O.C.)

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