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Heterogeneous forecasters and nonlinear expectation formation in the US stock market
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2014
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...
Persistent link: https://www.econbiz.de/10010384168
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Heterogeneous forecasters and nonlinear expectation formation in the US stock market
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2014
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...
Persistent link: https://www.econbiz.de/10010407532
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Heteroeneous forecasters and nonlinear expectation formation in US stock market
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015
We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...
Persistent link: https://www.econbiz.de/10010479018
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Calendar anomalies in African stock markets
Ferrouhi, El Mehdi; Kharbouch, Omar; Aguenaou, Samir; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-17
In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...
Persistent link: https://www.econbiz.de/10013184417
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Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles
Jiang, Zhi-Qiang - 2010
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding …
Persistent link: https://www.econbiz.de/10013144342
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Herding in Chinese Stock Markets : A Non-Parametric Approach
Mahmud, Syed - 2017
The paper reports new evidence of herding in the Chinese A-type and B-Type markets by employing non-parametric kernel … regression. We find statistically significant evidence of herding in A-type market under both extreme high and low market returns …. Herding in B-type market, which predominantly consists of foreign investors, indicate only week evidence of herding. We do not …
Persistent link: https://www.econbiz.de/10012971535
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Market entry waves and volatility outbursts in stock markets
Blaurock, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - 2017
herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental … news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess …
Persistent link: https://www.econbiz.de/10011702006
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Central bank intervention and exchange rate expectations : evidence from the daily DM/US-Dollar exchange rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10011431685
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Exchange rate expectations of chartists and fundamentalists
Dick, Christian D.; Menkhoff, Lukas - 2013
This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals ́expectations vary considerably as they generally...
Persistent link: https://www.econbiz.de/10009727121
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Exchange rate expectations of chartists and fundamentalists
Dick, Christian D.; Menkhoff, Lukas - 2012
This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally...
Persistent link: https://www.econbiz.de/10009521123