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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model
Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10011333691
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Speculative dynamics and price behavior in the Shanghai Stock Exchange
Koutmos, Dimitrios; Song, Wei - In: Research in international business and finance 31 (2014), pp. 74-86
Persistent link: https://www.econbiz.de/10010434017
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The impact of investor sentiment on sectoral returns and volatility : evidence from the Johannesburg Stock Exchange
Muguto, Hilary Tinotenda; Muguto, Lorraine; Bhayat, Azra; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-24
This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …
Persistent link: https://www.econbiz.de/10014500435
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When investors enjoy less policy risk : divided government, economic policy change, and stock market volatility in Germany, 1970 - 2005
Bechtel, Michael; Füss, Roland - In: Swiss political science review : SPSR 14 (2008) 2, pp. 287-314
Persistent link: https://www.econbiz.de/10003776999
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The asymmetric impulse of the sunshine effect on stock returns and volatilities
Lee, Yuan-Ming; Wang, Kuan-Min - In: Amfiteatru economic : an economic and business research … 12 (2010) 28, pp. 606-633
Persistent link: https://www.econbiz.de/10008688665
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Investor heterogeneity and asymmetric volatility under short-sale constraints : evidence from Korean fund market
Pando Sohn; Seo, Ji-yong - In: Estudios de economía 42 (2015) 1, pp. 21-51
asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return … short-sale constraints using asset-allocating strategies. The results of the GJR-GARCH model show an asymmetric volatility … volatility. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that …
Persistent link: https://www.econbiz.de/10011281956
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Investor following and volatility : a GARCH approach
Aouadi, Amal; Arouri, Mohamed; Teulon, Frédéric - In: The journal of applied business research 31 (2015) 3, pp. 765-779
Persistent link: https://www.econbiz.de/10011304823
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The asymmetric response of volatility to market changes and the volatility smile : evidence from Australian options
Tanha, Hassan; Dempsey, Michael - In: Research in international business and finance 34 (2015), pp. 164-176
Persistent link: https://www.econbiz.de/10011325745
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Asymmetric and negative return-volatility relation : a behavioural explanation
Abbes, Mouna Boujelbène; Salah, Ines Ben; Ellouze, … - In: International journal of economics and business research 6 (2013) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10010351133
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The information content of option-implied information for volatility forecasting with investor sentiment
Seo, Sung Won; Kim, Jun Sik - In: Journal of banking & finance 50 (2015), pp. 106-120
Persistent link: https://www.econbiz.de/10010509134