We live in an uncertain world. Uncertainty leaves investors weighing contrasting scenarios of what the future might hold, rendering market sentiment more relevant than ever.
Inspired by CNN's Fear and Greed Index, and adapted for an emerging economy with no derivative market and deep bond liquidity, this sentiment tracker attempts to translate the aggregate mood of investors.
When the BET index is above its 125-day moving average, buyers are in control of the medium-term trend. But this indicator also tracks the rate of change of the momentum, using historical standard deviations to spot when the market gets too overbought or oversold.
This calculates the net percentage of BVB stocks hitting one-year highs versus those hitting one-year lows. A low score implies bearish momentum across the entire market.
Measures aggregate buying versus selling cash flow by considering rising and declining equity prices.
The VIX is a forward-looking index derived from S&P 500 options prices that measures the market’s expectation of 30-day future volatility.
Our indicator acts as a proxy for the VIX. It isolates negative daily price changes over a rolling window. Massive sell-offs lead to ‘Fear’ levels, and calm markets to ‘Greed’ levels.
A weak RON increases the price of imports, and makes foreign-denominated debt more expensive.
While the National Bank of Romania has a tendency to peg the EUR/RON exchange rate, the USD/RON exchange rate floats freely. By tracking a mix of both, this indicator captures real capital flows.
No. This is an independent programming project designed for educational and research purposes. Past returns are not indicative of future performance. Always consult a qualified financial adviser before making investment decisions.
Once per trading session, shortly after the Bucharest Stock Exchange closes, at around 6:00 PM (EEST/EET).
Unlike the traditional CNN Fear and Greed Index, which incorporates options and bonds to provide a holistic overview of the market, this model relies predominantly on equity metrics and a minor foreign exchange component.
The weights are distributed as follows:
If you have suggestions about improving the reliability of the index, please don't hesitate to message me on LinkedIn.
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