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A test of two models in forecasting stock index futures price volatility

Randolph, William L. - In: The journal of futures markets 11 (1991) 2, pp. 179-190

Persistent link: https://www.econbiz.de/10001102724

Stock return predictability and investor sentiment : a high-frequency perspective

Sun, Licheng; Najand, Mohammad; Shen, Jiancheng - In: Journal of banking & finance 73 (2016), pp. 147-164

Persistent link: https://www.econbiz.de/10011635681

Predicting stock and bond market returns with emotions : evidence from futures markets

Shen, Jiancheng; Griffith, John; Najand, Mohammad; Sun, … - In: The journal of behavioral finance : a publication of … 24 (2023) 3, pp. 333-344

Persistent link: https://www.econbiz.de/10014330978

Stock Return Predictability and Investor Sentiment : A High-Frequency Perspective

Sun, Licheng - 2016

We explore the predictive relation between high-frequency investor sentiment and stock market returns. Our results are based on a proprietary dataset of high-frequency investor sentiment, which is computed based on a comprehensive textual analysis of sources from news wires, internet news...

Persistent link: https://www.econbiz.de/10013002950