Adrian Fernandez-Perez's research while affiliated with Auckland University of Technology and other places

Publications (20)

Preprint
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This paper introduces a real-time, continuous measure of national sentiment that is language-free and thus comparable globally: the positivity of songs that individuals choose to listen to. This is a direct measure of mood that does not require us to pre-specify certain mood-affecting events, nor assume the extent of their impact on investors. We v...
Article
National culture has been shown to impact the way investors, firm managers, and other financial market participants respond to crisis. To date, however, none has looked at the impact of culture on market responses to disasters. This paper is the first to address the effect of national culture on stock market responses to a global health disaster. W...
Article
We examine the impact of internationalization on the quality of Chinese iron ore and PTA futures markets, by comparing the trading activities, costs and volatilities before and after the event. Using a difference-in-difference framework, we find that internationalization improves the market quality for PTA, while the opposite effect occurs with iro...
Article
We develop a novel measure of investor sentiment based on the valence of songs that individuals listen to. Our measure of music sentiment captures seasonal and weather-induced mood swings and is associated with a systematic pattern of mispricing correction.
Preprint
Full-text available
We develop a novel measure of investor sentiment based on the valence of songs that individuals listen to. We show that our measure of music sentiment captures seasonal mood swings. We further document that music sentiment is associated with a systematic pattern of mispricing correction. This relation is stronger for stocks with greater limits to a...
Article
Full-text available
This article studies the relation between the skewness of commodity futures returns and expected returns. A trading strategy that takes long positions in commodity futures with the most negative skew and shorts those with the most positive skew generates significant excess returns that remain after controlling for exposure to well-known risk factor...
Article
This article studies the relationship between the skewness of commodity futures returns and expected returns. A trading strategy that takes long positions in commodity futures with the most negative skew and shorts those with the most positive skew generates significant excess returns that remain after controlling for exposure to well-known risk fa...

Citations

... Further, from Figure 1, clear spikes are detected at the end of February and March during the invasion time. Here, all the commodities are presenting positive peaks, while gold, platinum, and crude oil have experienced a greater intensity of volatility (Dodd et al. 2022;Costola and Lorusso 2022). Conversely, all the markets exhibit a downfall, i.e., negative volatility has greater impacts than positive shocks supported by many past studies (Dimitriou et al. 2013;Boungou and Yatié 2022;Boubaker et al. 2022 To examine the return spillovers between the five major commodities, G7 and BRIC markets in a time-varying manner, we utilized the TVP-VAR method of Koop and Korobilis (2014) and integrated it using the connectedness method of Diebold and Yilmaz (2014). ...
... Compared to the weather or sporting results -both exogenous shocks that are assumed to affect people's mood -the happiness score is an endogenous measure that reflects mood. A recent study by Edmans et al. (2021) uses Spotify music data in a similar manner -albeit over a shorter sample -to argue that their endogenous music measured sentiment captures information about mood swings. Nevertheless, the main discussion in the study by Edmans et al. (2021) follows the path of sentiment mispricing effect on market return in the literature, in that the theoretical foundation of the mood-biasing effect on in-1 Sentiment is a much broader term encompassing both affective concepts such as emotions -including mood -and non-affective concepts such as attention or heuristic beliefs. 2 Weather as a classical proxy for mood has been comprehensively addressed in the literature on the effect of mood on financial market and investors' trading behavior. ...
... During that time, countries that exhibited a lower uncertainty avoidance, but high individualism scores had a lower level of stock return volatility (Maiz Jiménez et al., 2021), and they suffered a smaller stock market decline. In contrast, countries with low individualism but higher uncertainty avoidance scores showed a higher level of stock return volatility and suffered from a higher stock market fall (Fernandez-Perez et al., 2021). Zhang et al. (2020) report that many stock markets suffered almost 30% declines compared with their recent highs. ...
... To the best of our knowledge, there are only several studies considering the market-level immunity. These include Ashraf (2020c) and Fernandez-Perez et al. (2020), who examine the role of national cultures, Iyke (2020b) exploring the importance of foreign exchange rates, Erdem (2020) scrutinizing different political regimes, or Phan and Narayan (2020) and Narayan et al. (in press), who check the effect government policies. ...
... 4 Although several songs appear and disappear and afterwards reappear some weeks later in the chart, these episodes are infrequent. 5 Valence has recently been used to explain stock exchange variations by Fernandez-Perez et al. (2020). 6 We use three different sources for lyrics, namely, Google, AZ Lyrics and Songs Lyrics. ...
... In [18], computer vision techniques were used to extract information from large sample of photos published in the press to create a daily investor sentiment index. On the other hand, a similar measure was developed based on the valence of songs that individuals listen to, which in turn captures seasonal mood swings, and was shown to be associated with a systematic pattern of mispricing correction (especially, for stocks with greater limits to arbitrage) [6]. ...
... This leads to an increase in trading after the news release, which gives an information signal for the remainder of the day. 1 Therefore, in this study, we argue that days 1 Halova et al. (2014) and Ederington et al. (2019) show that crude oil futures trading volume and volatility on days with EIA crude oil inventory announcements are higher than days without. Similar findings are documented for the natural gas inventory announcements (see, e.g., Fernandez-Perez et al., 2020;Gay et al., 2009;Gu and Kurov, 2018;Prokopczuk et al., 2021). with EIA news announcements might provide additional information signals, which can lead to an intraday momentum pattern that differs from that on days without these announcements. ...
... However, a weak dependency was noticed among digital currencies and foreign exchange when analyzed through the value-at-risk and expected shortfall approach using vine copulas (Chemkha et al., 2021). Andrada-Félix et al. (2020) studied the interconnection volatility among the major virtual currencies named-bitcoin, ripple, litecoin, and dash and conventional currencies-Euro, AUD, JPY, and GBP. The technique applied was DY (2014) and Antonakakis and Gabauer (2020) on the sample for the duration from 2014M02-2018M09. ...
... Thus, commodity futures evolved from a pure hedging instrument for commodity risk managers into a popular liquid asset class (see Rouwenhorst and Tang, 2012;Tang and Xiong, 2012;Cheng and Xiong, 2014;Henderson et al., 2015). Because of the absence of restrictions for short sellers, their negligible transaction costs, manageable extent and high liquidity, commodity futures also offer attractive conditions for cross-sectional, time-variable investment strategies, as studied by Shen et al. (2007); Szakmary et al. (2010); Fuertes et al. (2010); Bianchi et al. (2015) or Fernandez-Perez et al. (2018a). Motivated by the popularity of commodity futures investments in practice and academia, this thesis examines passive and active investment strategies in commodity futures markets -especially, the analysis of their risk and returns. ...
... More specifically, across the sample of the sukuk issued by financial/non-financial cooperations, the middle quintile scale is lower than both the lower and upper quantiles. This result aligns with expectations, as the period under consideration includes both the event and nonevent events (Andrada Fflix, Fernandez-Perez, and Sosvilla Rivero 2017). Under the middle quantile of the sukuk issued by financial cooperations, the total return spillovers in 2012 were 34, which is high; however, the sukuk issued by non-financial cooperations were below 27. ...