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A new approach to bad news effects on volatility : the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
Curto, José Dias; Tomaz, João Amaral; Pinto, José Castro - In: Portuguese economic journal 8 (2009) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10003823949
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The dark side of trading
Dichev, Ilia D.; Huang, Kelly; Zhou, Dexin - In: Journal of accounting, auditing & finance 29 (2014) 4, pp. 492-518
Persistent link: https://www.econbiz.de/10010425512
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Empirical essays on the stock market impact of limited investor attention
Jacobs, Heiko - 2011
Persistent link: https://www.econbiz.de/10009541595
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Behavioural factors and macroeconomic news on financial markets
Heiden, Sebastian - 2013
Persistent link: https://www.econbiz.de/10011385783
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Volume, Volatility and Momentum in Financial Markets
Davidsson, Marcus - 2014
In this paper we will discuss the relationship among volume, volatility and return momentum in global financial markets …. It turns out that when the volatility is large i.e. the difference between the daily high price and the daily low price … momentum return investment strategy. A significant amount of positive serial correlation was also found in the volatility and …
Persistent link: https://www.econbiz.de/10013056099
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Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? : a multi-scale perspective
Ftiti, Zied; Hadhri, Sinda - In: Pacific-Basin finance journal 53 (2019), pp. 40-55
Persistent link: https://www.econbiz.de/10012133290
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Cross-border sentiment : an empirical analysis on EU stock markets
Bai, Ye - In: Applied financial economics 24 (2014) 4/6, pp. 259-290
Persistent link: https://www.econbiz.de/10010399454
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A note on investor happiness and the predictability of realized volatility of gold
Bonato, Matteo; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012805333
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Essays in macroeconomics and finance
Sydow, Matthias - 2009
Persistent link: https://www.econbiz.de/10003840762
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Shipping Investor Sentiment and International Stock Return Predictability
Papapostolou, Nikos C. - 2016
Stock return predictability by investor sentiment has been subject to constant updating, but reaching a decisive conclusion seems rather challenging as academic research relies heavily on US data. We provide fresh evidence on stock return predictability in an international setting and show that...
Persistent link: https://www.econbiz.de/10013005275