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Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Persistent link: https://www.econbiz.de/10013334839

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

Speculative bubbles and contagion : analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Herwarth Kohn, Maximilian-Benedikt; Pereira, Pedro L. Valls - In: Cogent economics & finance 5 (2017) 1, pp. 1-28

bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand …

Persistent link: https://www.econbiz.de/10011887512

Momentum Without Crashes

Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022

We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...

Persistent link: https://www.econbiz.de/10014236192

Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose …

Persistent link: https://www.econbiz.de/10012023919

Taming Momentum Crashes : A Simple Stop-Loss Strategy

Han, Yufeng - 2016

In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...

Persistent link: https://www.econbiz.de/10013006637

Value, Momentum and Market Timing

Filippou, Ilias - 2016

We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i.e. repurchases and issues). Following the market timing framework, we develop a two-factor asset pricing model comprising a “market” and a “mispricing” factor, which is able...

Persistent link: https://www.econbiz.de/10013005248

Investor Co-Attention and Stock Market Comovement

Symitsi, Efthymia - 2017

proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated … news and fundamentals. Most importantly, we find a positive association between co-attention and excess correlation. This … volatility transmission indirectly across markets …

Persistent link: https://www.econbiz.de/10012941907

Housing price dynamics : the impact of stock market sentiment and the spillover effect

Zheng, Yao; Osmer, Eric - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 854-867

Persistent link: https://www.econbiz.de/10012655714

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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