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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future …
Persistent link: https://www.econbiz.de/10014227600
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Business cycle, expected return and momentum payoffs
Chen, Jiun-Lin (Alex); Hwang, Hyoseok (David) - In: Finance research letters 29 (2019), pp. 83-89
Persistent link: https://www.econbiz.de/10012417954
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Investor Sentiment, Stock Markets and Macroeconomic Fluctuation : An Empirical Evidence from US
Shaiban, Mohammed Sharaf - 2017
Recent literature theoretically assumes that exuberant Investors' sentiments increase the price of capital, signals strong fundamentals of the real side of the economy and drive asymmetric nonlinear asset prices. This study offers empirical insights into the interaction between investor...
Persistent link: https://www.econbiz.de/10012949754
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Investor sentiment and global economic conditions
Herculano, Miguel C.; Lütkebohmert-Holtz, Eva - In: Journal of empirical finance 73 (2023), pp. 134-152
Persistent link: https://www.econbiz.de/10014477003
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U.S. uncertainty and Asian stock prices : evidence from the asymmetric NARDL model
Liang, Chin Chia; Troy, Carol; Rouyer, Ellen - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012659104
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The source of stock return fluctuation in Taiwan
Liu, De-Chih; Liu, Chih-Yun - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 77-88
Persistent link: https://www.econbiz.de/10011627513
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Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
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The US stock market at sector level : inflation news, 1990-2013
Jareño, Francisco; Tolentino, Marta; González Pérez, … - In: Applied econometrics and international development 18 (2018) 1, pp. 71-86
Persistent link: https://www.econbiz.de/10012000540
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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models
Di Casola, Paola; Sichlimiris, Spyridon - 2020
news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on …
Persistent link: https://www.econbiz.de/10012181050
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How does the macroeconomy respond to stock market fluctuations? : the role of sentiment
Pan, Wei-Fong - In: Macroeconomic dynamics 24 (2020) 2, pp. 421-446
Persistent link: https://www.econbiz.de/10012193903