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The Influences of Greed and Fear on Fund Performance
Li, Chun An - 2013
greed and fear, and discuss whether the psychological changes in these investors would influence a mutual fund. This study … performance was affected by the psychology of investors, especially from irrational behavior driven by fear and greed …
Persistent link: https://www.econbiz.de/10013082302
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How are VIX and Stock Index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016
As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10011451524
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25
As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10012611071
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How are VIX and stock index ETF related?
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - 2016 - Revised: February 2016
As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10011441620
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-25
As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10011961446
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Analysis of Herd Behavior Using Quantile Regression: Evidence from Karachi Stock Exchange (KSE)
Malik, Saif Ullah; Elahi, Muhammad Ather - Volkswirtschaftliche Fakultät, … - 2014
. Greed stimulates people to make increasingly risky investments and therefore investors tend to follow one another blindly …
Persistent link: https://www.econbiz.de/10011108636
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Emotional state and Market Behavior
Noussair, Charles; Breaban, A. - Tilburg University, Center for Economic Research - 2013
. Greater fear predicts lower prices and smaller bubbles. Those traders who remain the most neutral during periods of market … volatility achieve the highest earnings. Loss aversion in decision making is correlated with fear, not with other emotions. …
Persistent link: https://www.econbiz.de/10011091534
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Speculative bubbles and contagion: Analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
Herwarth Kohn, Maximilian-Benedikt; Pereira, Pedro L. Valls - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-28
Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...
Persistent link: https://www.econbiz.de/10011988812
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10014332691
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Is consumer confidence an indicator of JSE performance?
Solanki, Kamini; Seetharam, Yudhvir - In: Contemporary Economics 8 (2014) 3, pp. 257-273
While most studies examine the impact of business confidence on market performance, we instead focus on the consumer because consumer spending habits are a natural extension of trading activity on the equity market. This particular study examines investor sentiment as measured by the Consumer...
Persistent link: https://www.econbiz.de/10010436041