Department of Quantitative Finance
National Tsing Hua University
Department of Quantitative Finance
National Tsing Hua University
Department of Quantitative Finance
National Tsing Hua University
Department of Quantitative Finance
National Tsing Hua University
M.A., Department of Economics
Chen, C.C., Y.L. Huang and Yang, F. (2024), “Semantics Matter: An Empirical Study on Economic Policy Uncertainty Index,” International Review of Economics and Finance, 89, 1286-1302.
Chen, C.C., Huang, H.H., Takamura, H., Kato, M.P., Y.L. Huang (2022), “FinTech on theWeb,” ACM Transactions on the Web, 17,1-3.
Huang, Y.L. and C.M. Kuan (2021), “Economic Prediction with the FOMC Minutes: An Application of Text Mining,” International Review of Economics and Finance, 71, 751-761.
Huang, Y.L., J.H. Yeh and C.C. Chen (2021), “Economic Policy Uncertainty Index for Taiwan,” Taiwan Economic Review, 49, 307-334. (in Chinese)
Huang, Y.L. and C.M. Kuan (2019), “Text Mining of the FOMC Minutes and Forecasts of Taiwan Economic Variables,” Taiwan Economic Review, 47, 363-391. (in Chinese)
Wu, J.Y. and Y.L. Huang (2017), “Impact of US and Japan Quantitative Easing Policies on Taiwan: A GVAR Approach,” Taiwan Economic Forecast and Policy, 48, 1-39. (in Chinese)
Chen, J-H, Y.L. Huang and J.R. Chang (2017), “Robust Good-Deal Bounds in Incomplete Markets: The Case of Taiwan,” Hitotsubashi Journal of Economics, 58, 53-67.
Lu, T.S., J.R. Chang and Y.L. Huang (2016), “Can Anomalies be Explained by Technical Analysis? Evidence from Candlestick Patterns,” Advances in Investment Analysis and Portfolio Management, 7, 65-83.53-67.
Chen, S.L. and Y.L. Huang (2015), “Taiwan Business Reference Series Re-examination,” Taiwan Economic Forecast and Policy, 46, 1-42.
Huang, Y.L. and C.H. Huang (2015), “Uncertain Effect of Shocks vs. Uncertain Unit Root: An Alternative View of U.S. Real GDP,” Hitotsubashi Journal of Economics, 56, 117-134.
Chen, S.L. and Y.L. Huang (2014), “Actuarial Implications of Structural Changes in El Nino-Southern Oscillation Index Dynamics,” Annals of Financial Economics, 9, 125-138.
Bao, Xiaohue, Y.L. Huang, and P.T. Lin (2014), “Volatility Clustering in Land Markets,” Property Management, 32, 378-385.
Huang, Y.L. (2014), “Testing Markov Switching Models,” Applied Economics, 46, 2047-2051.
Huang, Y.L., J. T. Tsay, S.S. Yang, and H. W. Cheng (2014), “Price Bounds of Mortality-Linked Security in Incomplete Insuarance Market,” Insurance: Mathematics and Economics, 55, 30-39.
Kuan, C.M, C. C. Hsu, Y.L. Huang and S. H. Hsu (2014), “Financial Conditions and the Macroeconomy in Taiwan,” Taiwan Economic Forecast and Policy, 44, 103-132. (in Chinese)
Chen, S.L. and Y.L. Huang (2014), “An Evaluation of Component Series of Business Indicators: An Application of LARS Method,” Taiwan Economic Forecast and Policy, 44, 133-170. (in Chinese)
Chen, S.L., C.H. Huang and Y.L. Huang (2012), “International Economic Linkages between Taiwan and the World: A Global Vector Autoregressive Approach,” Academia Economic Papers, 40, 343-375.
Lin, C.C., Y.L. Huang and C. Lu (2012), “Estimating Mortgage Prepayment Rates using the Gibbs-Sampling Approach,” Advances in Financial Planning and Forecasting, 5, 215-230.
Huang, Y.L. (2012), “Measuring Business Cycles: A Temporal Disaggregation Model with Regime Switching,” Economic Modelling, 29, 283-290.
Huang, Y.L. (2010), “Estimating Taiwan’s Monthly GDP in an Exact Kalman Filter Framework: A Research Note,” Taiwan Economic Review, 38, 147-160.
Huang, Y.L. (2009), “Identifying Turbulent and Calm Regimes in Stock Prices: Evidence from the Taiwan Stock Market,” Applied Economics Letters, 14, 1477-1481.
Huang, Y.L., C.H. Huang and C.M. Kuan (2008), “Re-examining the Permanent Income Hypothesis with Uncertainty in Permanent and Transitory Innovation States,” Journal of Macroeconomics, 3, 1816-1836.
Huang, Y.L. and C.W. Ho (2008), “Beyond the Bull and the Bear: Demarcating Stable and Turbulent Regimes in Stock Markets,” Economic Bulletin, 3, 1-11.
Huang, Y.L. (2008), “An Alternative Estimation Algorithm for Innovation Regime-Switching Models,” Applied Economics Letters, 15, 225-229.
Huang, Y.L. and C.H. Huang (2007), “The Persistence of Taiwan’s Output Fluctuations: An Empirical Study using Innovation Regime-Switching Model,” Applied Economics, 39, 2673-2679.
Huang, Y.L. (2007), “On the Pricing of Collateralized Debt Obligation: A Copula Function Approach,” Academia Economic Papers, 35, 21-52. (in Chinese)
Kuan, C.M., Y.L. Huang and R.S. Tsay (2005), “An Unobserved-Component Model with Switching Permanent and Ttransitory Innovations,” Journal of Business and Economic Statistics, 23, 443-454.
Huang, Y.L., C.C. Hsu and H.W. Chen (2005), “Reference Cycles: The CEPD Methodology Revisited,” Taiwan Economic Review, 33, 295-319. (in Chinese)
Huang, Y.L., C.M. Kuan, and K. Lin (1998), “Identifying the Turning Points of Business Cycles and Forecasting Economic Growth Rates in Taiwan,” Taiwan Economic Review, 26, 431-457. (in Chinese)
Chung-Chi Chen, H.H. Huang, Y.L. Huang, and H.H. Chen (2021), “Distilling Numeral Information for Volatility Forecasting,” Proceedings of The 30th ACM International Conference on Information and Knowledge Management (CIKM’21).
Chung-Chi Chen, H.H. Huang, Y.L. Huang, and H.H. Chen (2021), ” Constructing Noise Free Economic Policy Uncertainty Index,” Proceedings of The 30th ACM International Conference on Information and Knowledge Management (CIKM’21).
Y.L. Huang (2024), “Textual Analysis and Chinese Sentiment Dictionary,” Working Paper.
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建構一部財經中文情緒字典除了需適當的分類模型外,還需要資料、人力等各方面配合。首先,其文本來源應從財經相關的新聞以及政府部門的紀要為主,不應以大眾常用的情緒字眼為考量,才能避免錯誤語意。例如 Ku et al. (2009) 基於社群媒體資訊所建構之情緒字典,其主要考量一般大眾的情緒字詞。
在台大情緒字點中,「財富」、「資源」、「失業人數」與「徵稅」等都被歸類為情緒字眼。另外,橫跨的資料時間也要夠長,才能考量如「金融海嘯」、「量化寬鬆 (QE)」、與「Covid-19」疫情等字詞的影響性。
在財經相關的新聞中,「財富」、「失業人數」與「徵稅」等字詞不見得都具有正、負面意涵,常常只代表某一個名詞或數據變數。
中文博大精深,相同的字詞在不同的議題上常有不同的意涵。
經濟活動「放緩」在「景氣」的議題上屬偏負面或中性字詞,但通膨「放緩」在「物價」議題上則屬正面消息。又例如「上調」存款準備率以及「上調」經濟預測不一定都代表正面消息。而「復甦」、「緊縮」等常見的字詞,在不同的上、下文間就有不一樣的情緒描述 (如「景氣復甦」、「心肺復甦」、「通貨緊縮」、「資金緊縮」與「身子緊縮」)。
「攀升」、「上漲」、「修正」、「下調」 … 等字詞在描述「景氣」、「物價」、「利率」、「匯率」等議題中都代表不同的情緒。
其次,不宜直接將國外的字典直接翻譯 (如英翻中或簡轉繁體),因為不同的國情,用字一定會有差異。
例如 Loughran and McDonald (2011) 的英文財經情緒字典中,"purporting" 「聲稱」與 "shut"「關上」被認為是某種財經情緒字眼。而 Jiang et al. (2019) 與姜富偉等人 (2021) 的簡體財經字典中,「樂顛顛」、「愛崗敬業」、「出籠」、「漏子」與「新股弱勢」等均為財經相關的情緒字詞。
在一般情況下,「聲稱」與「關上」等字詞在臺灣很難跟財經情緒字眼相連結,而「樂顛顛」、「出籠」、「漏子」等字眼在國內並不常見,也不一定有相似的用法與意涵。
橫跨資料包含財經相關新聞以及政府部門的紀要,文本資料橫跨期間長 (2003-05 ~2023-12),且容易維護。
除編製一般正、負面財經情緒字典以外,另還依據「景氣」、「貨幣政策」、「物價」、「利率」、「匯率」、「房地產價格」等議題的情緒字詞進行分類。。
除了利用大量人力進行標記外,記錄情緒字詞在國內新聞出現的頻率外,亦參考 Loughran and McDonald (2011) 中文翻譯內容以及 Jiang et al. (2019) 與姜富偉等人 (2021) 的簡體財經字典,再透過 Chat-GPT4 進行標記的驗證。
依據特定的關鍵字找出文本中出現此關鍵字的句子(sentence),再以此句為中心,額外增加前、後各 1 個句子 (共 3 個句子) 以形成詞句片斷 (snipped)。再依議題的情緒字詞對詞句片斷進行分類。
決定議題方向後,即可透過財經情緒字典進行正、負面情緒判斷,以編製情緒指標。建議排除詞句片斷的情緒以免重覆計算。
Coming Soon.