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Investigating new sources of information and nonlinearities on financial markets

Behrendt, Simon - 2020

Persistent link: https://www.econbiz.de/10012415028

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

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

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

Spillover Between Investor Sentiment and Volatility : The Role of Social Media

Yang, Ni; Fernandez-Perez, Adrian; Indriawan, Ivan - 2023

Persistent link: https://www.econbiz.de/10014355545

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

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...