States of psychological anchors and price behavior of Japanese yen futures

Autor:	Yun-Huan Lee, Yang-Cheng Lu, Hsiu-Chuan Lee, Yu-Chun Wang
Rok vydání:	2020
Předmět:	Economics and Econometrics 050208 finance 05 social sciences Framing effect Framing (social sciences) Currency 0502 economics and business Econometrics Economics 050207 economics Empirical evidence Futures contract Finance Decision tree model
Zdroj:	The North American Journal of Economics and Finance. 51:100868
ISSN:	1062-9408
DOI:	10.1016/j.najef.2018.10.016
Popis:	This study explores whether the relationship between Japanese yen futures returns and the corresponding equity returns is affected by the states of psychological anchors of the currency and stock markets. This study employs the linear-regression-based tree model (a machine learning method) to account for the framing effect of the anchors. The empirical results of the linear-regression-based tree model show that the currency price behaviors of momentum and reversal, and prediction by equity markets, vary with the anchors. Empirical evidence also indicates that the linear-regression-based tree model outperforms the OLS model based on the estimation results and out-of-sample forecasting. The forecasting performance of the linear-regression-based tree model can be improved along with an increase in the forecasting period.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::849daafa704f67cc4fb0e9711d594b37 https://doi.org/10.1016/j.najef.2018.10.016 Zobrazit plný text záznamu Full Text from ScienceDirect