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The dynamics of households' stock market beliefs
Gaudecker, Hans-Martin von; Wogrolly, Axel - 2019
We analyse a long panel of households' stock market beliefs to gain insights into the nature of their expectations formation processes. We classify respondents into one of five groups based on their data and estimate group-wise models of expectations formation. Two of the groups are at opposite...
Persistent link: https://www.econbiz.de/10011996781
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The standard portfolio choice problem in Germany
Huck, Steffen; Schmidt, Tobias; Weizsäcker, Georg - 2015
We study an investment experiment conducted with a representative sample of German households. Respondents invest in a …
Persistent link: https://www.econbiz.de/10011298558
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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
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Mental models of the stock market
Andre, Peter; Schirmer, Philipp; Wohlfart, Johannes - 2023
Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...
Persistent link: https://www.econbiz.de/10014383579
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a … in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different-investment …
Persistent link: https://www.econbiz.de/10010515402
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Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...
Persistent link: https://www.econbiz.de/10010509638
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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Terrorist attacks and financial markets
Bonekamp, Bas; Veen, Tom van - 2017
This paper investigates the magnitude and the duration of the effect of a terrorist attack on stock market indices. We investigate the impact of New York (2001), Madrid (2004), London (2005), Boston (2013), Paris (2015), Brussels (2016), Nice (2016) and Berlin(2016) on the stock indices of the...
Persistent link: https://www.econbiz.de/10011602465
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Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting
Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022
economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find …
Persistent link: https://www.econbiz.de/10013380503
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …
Persistent link: https://www.econbiz.de/10012404549