Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-18487
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dc.contributor.authorSchwendner, Peter-
dc.contributor.authorSchüle, Martin-
dc.contributor.authorHillebrand, Martin-
dc.date.accessioned2019-10-18T09:12:09Z-
dc.date.available2019-10-18T09:12:09Z-
dc.date.issued2019-
dc.identifier.issn2624-8212de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/18487-
dc.description.abstractWe 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.de_CH
dc.language.isoende_CH
dc.publisherFrontiersde_CH
dc.relation.ispartofFrontiers in Artificial Intelligencede_CH
dc.rightshttp://creativecommons.org/licenses/by/4.0/de_CH
dc.subjectSovereign bondde_CH
dc.subjectContagionde_CH
dc.subjectSentimentde_CH
dc.subjectEuropean sovereign bond crisisde_CH
dc.subjectCorrelation influencede_CH
dc.subjectCorrelationde_CH
dc.subjectNetworkde_CH
dc.subject.ddc332.6: Investitionde_CH
dc.titleSentiment analysis of European bonds 2016–2018de_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementLife Sciences und Facility Managementde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Angewandte Simulation (IAS)de_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.3389/frai.2019.00020de_CH
dc.identifier.doi10.21256/zhaw-18487-
zhaw.funding.euNode_CH
zhaw.issue20de_CH
zhaw.originated.zhawYesde_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume2de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.webfeedAsset Managementde_CH
zhaw.webfeedBio-Inspired Modelling and Learning Systemsde_CH
zhaw.webfeedDatalabde_CH
zhaw.author.additionalNode_CH
Appears in Collections:Publikationen Life Sciences und Facility Management

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