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This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …
Persistent link: https://www.econbiz.de/10012821063
We measure bond and stock conditional return volatility as a function of changes in sentiment, proxied by six …’ conditional volatility of retail investors’ sentiment thanks to a unique dataset of corporate bond returns from a limit …
Persistent link: https://www.econbiz.de/10013306289
The purpose of this study is to investigate the relationship between investor sentiment and leading equity market indices from the U.S., Europe, Asia, and globally between January 2020 and June 2022. The methodological approaches utilized are quantile regression and wavelet analysis. The results...
Persistent link: https://www.econbiz.de/10014420385
demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market … participation and volatility decreases again. Simulations furthermore reveal that our approach is also able to produce bubbles and … crashes, excess volatility, fat-tailed return distributions and serially uncorrelated price changes. …
Persistent link: https://www.econbiz.de/10011702006
Excessive trading phenomenon is contrary to the concept of traditional finance that is based on the rational expectation theorem and efficient market hypothesis. Therefore, this study is aimed at exploring the existence of overconfidence behavior in the stock market. The market-wide panel VAR...
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