چکیده مقاله
The Equity Market Sentiment Index EMSI is a useful indicator for describing whether the market is moving toward risk seeking or risk averse behavior However, its direct calculation is difficult because it requires daily firm level data, return calculation, volatility estimation, and cross sectional ranking of listed companies This problem is especially important in the Tehran Stock Exchange, where preparing clean and complete firm level data can be time consuming Therefore, this study proposes a simpler fuzzy framework for estimating EMSI using accessible market level indicators The proposed model uses two inputs: market trend and relative RSI momentum The trend variable represents the direction of market movement and is measured by the percentage change in TEDPIX Tehran Exchange Dividend and Price Index , while relative RSI momentum shows whether the current RSI is stronger or weaker than its Y period moving average Both inputs were fuzzified into seven linguistic levels, and a 9 rule first order Sugeno/TSK fuzzy inference system was developed to estimate EMSI The model was applied to Tehran Stock Exchange data from June 7, 2017 to August 21, 2023 The results show that the proposed model can provide an acceptable approximation of EMSI The model achieved an R value of VIVA, indicating that about VY% of EMSI variation was explained by the two selected inputs The MAE and RMSE values were 1,097 and 17,9A, respectively These findings suggest that market trend and relative RSI momentum contain useful information about market risk attitude Overall, the proposed fuzzy model offers a simple, interpretable, and practical tool for estimating a data intensive sentiment index
کلیدواژهها
نویسندگان
طیبه نجفی
کارشناشی ارشد علوم قرآن و حدیث
Ali Moeenfard
M Sc Department of Finance and Accounting, Faculty of Management and Accounting, College of Farabi, University of Tehran, Qom, Iran
فهیمه نجفی
کارشناسی ارشد ادبیات فارسی
Asgar Noorbakhsh
Assistant Professor, Department of Finance and Accounting, Faculty of Management and Accounting, College of Farabi, University of Tehran, Qom, Iran
شیوه ارجاع
Moeenfard, Ali and Noorbakhsh, Asgar,1405,A Fuzzy TSK Framework for Estimating Equity Market Sentiment Using Market Trend and Relative RSI Momentum,The 12th international conference on key researches in management, accounting, banking and economics,Mashhad
ارائهشده در
مجموعه مقالات دوازدهمین همایش بین المللی پژوهش های شاخص در مدیریت، حسابداری، بانکداری و اقتصاد20 اردیبهشت 1405 · مشهد