M-RCBG Senior Fellow-Led Study Group: Marlene Amstad
Friday, March 12, 12:00-1:00PM
Zoom meeting: registration is required. Please use a Harvard.edu email address if available.
Please join me for a discussion of our recently published working paper, Trade Sentiment and the Stock Market: New Evidence Based on Big Data Textual Analysis of Chinese Media.
We present a novel trade sentiment index (TSI) based on textual analysis and machine learning applied to a big data pool. The index assesses the positive or negative tone of the Chinese media coverage and evaluates its capacity to explain the behavior of 60 global equity markets. The difference in tone explains stock price variability better than pure counting of keywords, and the application of the algorithm to social media explains variability better than application to traditional media. Looking at the behavior of the different equity markets, we find that there are no winners of the trade war.
Marlene Amstad is economics and finance professor at The Chinese University of Hong Kong, Shenzhen, the Co-Director of its Fintech Center at the Shenzhen Finance Institute and serves as Vice-Chair of the Swiss Financial Market Supervisory Authority (FINMA). As the former deputy director at the Swiss National Bank she headed the investment strategy and financial market analysis unit. Marlene also worked at the Bank for International Settlements (BIS), the Federal Reserve Bank of New York, Credit Suisse and the Swiss Economic Institute. She served as adviser to over ten Asian central banks and coordinated the Asian Bond Fund (ABF) initiative of EMEAP (Executives' Meeting of East Asia-Pacific Central Banks). Marlene regularly holds research fellowships at central banks, most recently with the Bank of Japan, Bank of Finland and BIS and is a fellow at ABFER (Asian Bureau of Finance and Economic Research). Marlene’s research focuses on international finance and monetary economics. Her research is published in refereed and policy-oriented journals. She is the coeditor of “Central Bank Digital Currency and Fintech in Asia” with the Asian Development Bank (ADB) covering contributions by eight Asian central banks, IMF, BIS and Luohan Academy. Her latest book is “The Handbook of China’s Financial System” including banking, bonds, the stock market, asset management, the pension system, and financial technology (forthcoming Nov 2020, in Princeton Press). Marlene is an expert in developing new economic indicators based on big data for policy makers and investors. Working at the Federal Reserve Bank of New York, she created the “Fed New York staff underlying inflation gauge (UIG)” which is published monthly. She built a quantitative credit rating system for corporate clients at Credit Suisse, and at Swiss Economic Institute a recession indicator based on company surveys. As a Senior Fellow at M-RCBG, her research will be on data innovation and financial regulation. Her faculty sponsor is Ken Rogoff, Thomas D. Cabot Professor of Public Policy and Professor of Economics at Harvard University. Email: email@example.com