How does investor sentiment impact stock volatility? : new evidence from Shanghai A-shares market
Year of publication: |
2023
|
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Authors: | Xie, Dejun ; Cui, Yu ; Liu, Yujian |
Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1401, ZDB-ID 2589380-4. - Vol. 13.2023, 1, p. 102-120
|
Subject: | GARCH-MIDAS model | Investor sentiment | Market volatility | MIDAS regression model | Mixed-frequency data | Schätzung | Estimation | Volatilität | Volatility | Anlageverhalten | Behavioural finance | Börsenkurs | Share price | Aktienmarkt | Stock market | Shanghai | Prognoseverfahren | Forecasting model |
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