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The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market
Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014483735
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Dynamics of global stock market correlations : the VIX and attention allocation
Ceylan, Özcan - In: Journal of applied economics 24 (2021) 1, pp. 392-400
This paper investigates the dynamics of international stock return correlations between the U.S., the U.K., Germany and France. Estimated correlations are modeled in an ARDL framework to evaluate how the market-wide uncertainty in the U.S. affects international stock market comovements. Results...
Persistent link: https://www.econbiz.de/10013174300
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An empirical examination of investor sentiment and stock market volatility : evidence from India
Haritha P H; Rishad, Abdul - In: Financial innovation : FIN 6 (2020) 34, pp. 1-15
explores the role of irrational investors’ sentiments in determining stock market volatility. By employing monthly data on … sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility. The results … showed that irrational sentiment significantly causes excess market volatility. Moreover, the study indicates that the …
Persistent link: https://www.econbiz.de/10012296000
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Which sentiment index is more informative to forecast stock market volatility? : evidence from China
Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012437093
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Do exchange-traded fund activities destabilize the stock market? : evidence from the China securities index 300 stocks
Chen, Jilong; Xu, Liao - In: Economic modelling 127 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014464128
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The international spillover behaviour of implied volatilities and forecasting ability of spillover indices
Kae-Yih, Tzeng - In: Applied economics 55 (2023) 48, pp. 5719-5735
Persistent link: https://www.econbiz.de/10014335666
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Study on the influence mechanism of air quality on stock market yield and Volatility : empirical test from China based on GARCH model
An, Na; Wang, Baixue; Pan, Peilin; Guo, Kun; Sun, Yi - In: Finance research letters 26 (2018), pp. 119-125
Persistent link: https://www.econbiz.de/10012005619
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The impact of Baidu Index sentiment on the volatility of China's stock markets
Fang, Jianchun; Gozgor, Giray; Lau, Chi Keung; Lu, Zhou - In: Finance research letters 32 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012430747
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Does time-varying residual conditional heteroscedasticity in index returns affect trading behaviour of institutional investors in Indian Stock Market?
Malhotra, Amarjeet Kaur; Chauhan, Ajay Kumar - In: International journal of accounting and finance 7 (2017) 2, pp. 127-140
Persistent link: https://www.econbiz.de/10011803634
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Market mood index and stock market : evidence from National Stock Exchange
Seth, Neha; Kumar, Yogesh - In: Theoretical and applied economics : GAER review 30 (2023) 1/634, pp. 263-272
Persistent link: https://www.econbiz.de/10014434800