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Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective

Marczak, Martyna; Beissinger, Thomas - 2015

This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...

Persistent link: https://www.econbiz.de/10011325814

Modelling of speculative bubbles and forecasting of market crashes

Gerlach, Jan-Christian - 2021

Persistent link: https://www.econbiz.de/10012510251

Rational bubbles and fractional integration

Kruse, Robinson (contributor) - 2008

hypothesis of a rational bubble. -- Fractional integration ; bubbles ; changing persistence …

Persistent link: https://www.econbiz.de/10003672198

A classical model of speculative asset price dynamics

Inoua, Sabiou M.; Smith, Vernon L. - 2021

Persistent link: https://www.econbiz.de/10013256956

Learning in speculative bubbles : an experiment

Hong, Jieying; Moinas, Sophie; Pouget, Sébastien - 2018

Persistent link: https://www.econbiz.de/10012267511

Nonspeculative bubbles revisited : speculation does matter

Tucker, Steven James; Xu, Yilong - 2020

Persistent link: https://www.econbiz.de/10012428527

Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading

Farjam, Mike; Kirchkamp, Oliver - 2015

Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments … smaller bubbles if human traders expect algorithmic traders to be present. …

Persistent link: https://www.econbiz.de/10011392621

Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading

Farjam, Mike; Kirchkamp, Oliver - 2015

Bubbles are omnipresent in lab experiments with asset markets. But these experiments were (mostly) conducted in … clearly smaller bubbles if human traders expect algorithmic traders to be present. …

Persistent link: https://www.econbiz.de/10010477118

Trading by professional traders: an experiment

Cipriani, Marco; De Filippis, Roberta; Guarino, Antonio; … - 2020

not generate the price bubbles observed in previous studies with student subjects; traders aggregate private information …

Persistent link: https://www.econbiz.de/10012259899

Financialization and speculative bubbles : international evidence

Ahmed, Ehsan; Rosser, John Barkley; Uppal, Jamshed Y. - 2017

Persistent link: https://www.econbiz.de/10011748499

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