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Investigating new sources of information and nonlinearities on financial markets
Behrendt, Simon - 2020
Persistent link: https://www.econbiz.de/10012415028
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Can sustainable investment yield better financial returns : a comparative study of ESG indices and MSCI indices
Jain, Mansi; Sharma, Gagan Deep; Srivastava, Mrinalini - In: Risks : open access journal 7 (2019) 1/15, pp. 1-18
index—TRESGDX, emerging markets ESG index—TRESGEX, US large-cap ESG index—TRESGUS, Europe ESG index—TRESGEU, and those of … the usual markets, namely MSCI world index (MSCI W), MSCI All Country World Equity index (MSCI ACWI), MSCI USA index (MSCI … USA), and MSCI Europe Australasia Far East index (MSCI EAFE), MSCI Emerging Markets index (MSCI EM) and MSCI Europe index …
Persistent link: https://www.econbiz.de/10012016034
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Spillovers between Twitter Uncertainty Indexes and sector indexes : evidence from the US
El Khoury, Rim; Alshater, Muneer Maher - In: Borsa Istanbul Review 22 (2022) 5, pp. 961-974
The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and...
Persistent link: https://www.econbiz.de/10013426712
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Spillover between Investor Sentiment and Volatility : The Role of Social Media
Yang, Ni; Fernandez-Perez, Adrian; Indriawan, Ivan - 2023
We examine the spillover effects between social media sentiments and market-implied volatilities among stock, bond, foreign exchange, and commodity markets. We find that informational spillover comes mainly from volatility indices to sentiment indices, with the VIX being the most significant net...
Persistent link: https://www.econbiz.de/10014355407
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Spillover Between Investor Sentiment and Volatility : The Role of Social Media
Yang, Ni; Fernandez-Perez, Adrian; Indriawan, Ivan - 2023
We examine the spillover effects between social media sentiments and market-implied volatilities among stock, bond, foreign exchange, and commodity markets. We find that informational spillover comes mainly from volatility indices to sentiment indices, with the VIX being the most significant net...
Persistent link: https://www.econbiz.de/10014355545
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Gauging the effect of investor sentiment on cryptocurrency market : an analysis of Bitcoin currency
Mohsin, Mohammad; Naseem, Sobia; Ivaşcu, Larisa; … - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 87-102
Persistent link: https://www.econbiz.de/10013407229
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How financial conditions matter differently across Latin America
Brandao Marques, Luis; Pérez Ruiz, Esther - 2017
This paper develops comparable financial conditions indices (FCIs) for the six large and most financially-integrated Latin American economies (LA6) by following Korobilis (2013) and Koop and Korobilis (2014). The main findings are as follows. First, the estimated FCIs are influenced by a...
Persistent link: https://www.econbiz.de/10011748777
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Emergent Sentiment in Financial Markets : Sentiment Flow from Social Media to Mass Media
Ren, Jie - 2020
Over the past two decades, substantial research has established the importance of sentiment in financial markets. We know that sentiment impacts investor decisions; because of advanced text mining and sentiment analysis techniques, automated trading strategies based on sentiment are prevalent....
Persistent link: https://www.econbiz.de/10012848292
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Measuring market volatility connectedness to media sentiment
Abdollahi, Hooman; Fjesme, Sturla Lyngnes; Sirnes, Espen - In: The North American journal of economics and finance : a … 71 (2024), pp. 1-29
Persistent link: https://www.econbiz.de/10014492085
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Analysis of how the european stock markets perceive the dynamics of macroeconomic indicators through the sentiment index and the purchasing managers' index
Lupu, Iulia - In: Financial studies 22 (2018) 1, pp. 32-52
in terms of the sentiment index and the purchasing managers' index. For this research, we focused on the countries of the … - November 2017. The results showed immediate reactions with a higher intensity in March 2015 for the SentiMent index and for …
Persistent link: https://www.econbiz.de/10011964937