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The effects of sentiment on market return and volatility and the cross-sectional risk premium of sentiment-affected volatility

Yang, Yan; Copeland, Laurence S. - 2014

We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of...

Persistent link: https://www.econbiz.de/10010380934

Hedging effectiveness in the index futures market

Copeland, Laurence S. (contributor); Zhu, Yanhui (contributor) - 2006

Persistent link: https://www.econbiz.de/10003390738

The index futures markets : Is screen trading more efficient?

Copeland, Laurence S.; Lam, Kin; Jones, Sally-Ann - In: The journal of futures markets 24 (2004) 4, pp. 337-357

Persistent link: https://www.econbiz.de/10002005362

LIFFE cycles : intraday evidence from the FTSE-100 Stock Index futures market

Abhyankar, Abhay; Copeland, Laurence S.; Wong, W. - In: The European journal of finance 5 (1999) 2, pp. 123-139

Persistent link: https://www.econbiz.de/10001439629

Momentum and market volatility : a Bayesian regime-switching model

Cao, Jia; Copeland, Laurence S. - In: The European journal of finance 29 (2023) 5, pp. 483-507

Persistent link: https://www.econbiz.de/10014322539