Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10009730583
We investigate how investor overconfidence and margin trades affect market efficiency around a market crash. We find that the price delay before a crash is about twice the price delay after a crash and that negative information travels slowly only when market sentiment is high because of...
Persistent link: https://www.econbiz.de/10012961035
We investigate the effect of investor overconfidence and margin trades on market efficiency around a market crash. We find that the price delay in a pre-crash period is about twice the price delay in a post-crash period. After a market crash, investors become more sensitive to market movements,...
Persistent link: https://www.econbiz.de/10012942072
Persistent link: https://www.econbiz.de/10012793415
In this paper, we introduce the MSCI China A-shares index (MCASI) and analyze MCASI’s properties. From the perspective of index investment, we found that MCASI’s investor sentiments, both overnight sentiment and BW sentiment, provide significant predictability for future MCASI returns,...
Persistent link: https://www.econbiz.de/10012794876
Persistent link: https://www.econbiz.de/10012495764
Persistent link: https://www.econbiz.de/10012437093
Persistent link: https://www.econbiz.de/10014551353
Persistent link: https://www.econbiz.de/10013388944
Persistent link: https://www.econbiz.de/10013463167