Exploring Determinants of Investor Sentiment in the FX Option Market

DOI

Bibliographic Information

Other Title
  • 通貨オプション市場における投資家センチメントの要因分析

Description

<p>With novel, granular FX option data, this paper employs a Random Forest approach to exploring the determinants of investor sentiment for USD/JPY by a different investor category. The sentiment is measured by the positioning of “long call and short put (bullish for USD/JPY)” minus “long put and short call (bearish for USD/JPY)”. The analysis shows that the uncertainty over the US trade policy is one of the most important variables for the sentiment of non-financial corporates, while the US yield curve appears to affect the sentiment of both non-financial corporates and institutional investors. The results imply that the recent increase in hedging behavior for a sharp fall of the dollar against the yen could be attributable to the US-China trade tensions and an inversion of the US yield curve which suggests a slowdown of global economy.</p>

Journal

Keywords

Details 詳細情報について

  • CRID
    1390003825189306496
  • NII Article ID
    130007856904
  • DOI
    10.11517/pjsai.jsai2020.0_2i1gs203
  • ISSN
    27587347
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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