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Mass psychology in action: identification of social interaction effects in the German stock market

Lux, Thomas - 2009

We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a stochastic model of opinion dynamics. The bivariate nature of our data set also allows us to explore the interaction between the two hypothesized opinion formation processes,...

Persistent link: https://www.econbiz.de/10010269717

Sentiment dynamics and stock returns: the case of the German stock market

Lux, Thomas - 2008

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...

Persistent link: https://www.econbiz.de/10010263537

Market response to investor sentiment

Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2011

This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...

Persistent link: https://www.econbiz.de/10010308566

The misinformation effect in financial markets: An emerging issue in behavioural fianance

Polak, Mateusz - In: e-Finanse: Financial Internet Quarterly 8 (2012) 3, pp. 55-61

The following paper is a theoretical introduction of the misinformation effect to behavioural finance. The misinformation effect causes a memory report regarding an event or particular knowledge to become contaminated with misleading information from another source. The paper aims to describe...

Persistent link: https://www.econbiz.de/10011551375

A Longer-Term evaluation of Information releases by Influential market Agents and the Semi-strong market Efficiency

Agrrawal, Pankaj; Agarwal, Rajat - 2023

This paper is an evaluation of long-term cumulative returns (CAR's) based on Twitter broadcasts by highly influential … market agents. We look at the information content of Elon Musk, CEO of SpaceX, Tesla and Twitter Inc. and the former US … Musk and Trump tweets. A control group of all Dow Jones companies with earnings releases on Twitter is utilized. We find …

Persistent link: https://www.econbiz.de/10014317110

Learning from experience in the stock market

Nakov, Anton; Nuño, Galo - 2011

We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...

Persistent link: https://www.econbiz.de/10011605442

The bull and bear market model of Huang and Day : Some extensions and new results

Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura - 2012

We develop a financial market model with interacting chartists and fundamentalists that embeds the famous bull and bear market model of Huang and Day as a special case. Their model is given by a one-dimensional continuous piecewise-linear map. Our model, on the other hand, is more flexible and...

Persistent link: https://www.econbiz.de/10010310936

News reaction in financial markets within a behavioral finance model with heterogeneous agents

Fischer, Thomas - 2011

This paper presents a Heterogeneous Agent Model of a financial market with chartist and fundamentalist traders that exhibit bounded rationality and short-term thinking to explain the effect of under and overreaction to news. The existence of the Market Maker's finite price adjustment speed leads...

Persistent link: https://www.econbiz.de/10010323743

Common influences, spillover and integration in Chinese stock markets

Weber, Enzo; Zhang, Yanqun - 2008

The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...

Persistent link: https://www.econbiz.de/10010263757

Testing for convergence in stock markets: a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274513

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