Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-18487
Title: Sentiment analysis of European bonds 2016–2018
Authors : Schwendner, Peter
Schüle, Martin
Hillebrand, Martin
et. al : No
Published in : Frontiers in Artificial Intelligence
Volume(Issue) : 2
Issue : 20
Publisher / Ed. Institution : Frontiers
Issue Date: 2019
License (according to publishing contract) : CC BY 4.0: Attribution 4.0 International
Type of review: Peer review (publication)
Language : English
Subjects : Sovereign bond; Contagion; Sentiment; European sovereign bond crisis; Correlation influence; Correlation; Network
Subject (DDC) : 332.6: Investment
Abstract: We revisit the discussion of market sentiment in European sovereign bonds using a correlation analysis toolkit based on influence networks and hierarchical clustering. We focus on three case studies of political interest. In the case of the 2016 Brexit referendum, the market showed negative correlations between core and periphery only in the week before the referendum. Before the French presidential elections in 2017, the French bond spread widened together with the estimated Le Pen election probability, but the position of French bonds in the correlation blocks did not weaken. In summer 2018, during the budget negotiations within the new Italian coalition, the Italian bonds reacted very sensitively to changing political messages but did not show contagion risk to Spain or Portugal for several months. The situation changed during the week from October 22 to 26, as a spillover pattern of negative sentiment also to the other peripheral countries emerged.
Departement: Life Sciences and Facility Management
School of Engineering
Organisational Unit: Institute of Applied Simulation (IAS)
Institute of Wealth & Asset Management (IWA)
Publication type: Article in scientific journal
DOI : 10.3389/frai.2019.00020
10.21256/zhaw-18487
ISSN: 2624-8212
URI: https://digitalcollection.zhaw.ch/handle/11475/18487
Appears in Collections:Publikationen Life Sciences und Facility Management

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