Monetary Economics Seminar of Kobe University
Hosted by Grant-in-Aid for Scientific Research (B) / Jointly supported by RIEB Seminar
Date & Time
The seminar is for the workshop members only.
Slides data will be sent to the attendees only.
10:00am ～ 11:30am
- Does Sentiment Depend on Reference Level? Evidence from Hong Kong Typhoon Signals
- Jinghan CAI (Department of Economics and Finance, Kania School of Management, University of Scranton)
- Using the typhoon signal mechanism in Hong Kong as a natural experiment, we find empirical evidence supporting the expectation-based reference-dependent preference through sentiment created by day-offs from typhoons. First, sentiment is experienced relative to a reference level: The stock market gains from likely day-off from looming typhoons and it is stronger than the holiday effect from weekends and public holidays. Second, the reference level is based on expectation: The market gains more under strengthening typhoon signals but less under weakening signals. Third, not-so-informative good news can be undesirable: The market drops under weak standby signals.