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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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Can macroeconomic volatility affect stock market volatility? : the case of 5 central and eastern European countries
Baroian, Elena - In: Romanian journal of fiscal policy : RJFP 5 (2014) 2, pp. 41-55
This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging … discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the …
Persistent link: https://www.econbiz.de/10010492726
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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
Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...
Persistent link: https://www.econbiz.de/10012181050
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Modeling the effects of investor sentiment and conditional volatility in international stock markets
Uygur, Utku; Taş, Oktay - In: Journal of applied finance & banking 2 (2012) 5, pp. 239-260
objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring … the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH …, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high …
Persistent link: https://www.econbiz.de/10009673686
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Time-Varying Exchange Rate Exposure and Exchange Rate Risk Pricing in the Canadian Equity Market
Al-Shboul, Mohammad - 2013
least squares (OLS) and generalized least squares (GLS) estimation techniques confirm that exchange rate risk in the …
Persistent link: https://www.econbiz.de/10013072274
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Does Investor Sentiment Predict Future Mexican Stock Market Returns?
Perez-Liston, Daniel - 2017
This paper studies whether investor sentiment can predict future Mexican stock market returns. Furthermore, we examine the dynamic correlation between sentiment and returns. Lastly, we examine whether sentiment innovations influence unexpected returns. We find that sentiment has significant...
Persistent link: https://www.econbiz.de/10012948714
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Investors' sentiment and equity markets during COVID-19 period : a quantile regression approach and wavelet analysis
Gherghina, Ștefan Cristian; Mehdian, Seyed M.; Stoica, … - In: Journal of business economics and management 24 (2023) 3, pp. 551-575
The purpose of this study is to investigate the relationship between investor sentiment and leading equity market indices from the U.S., Europe, Asia, and globally between January 2020 and June 2022. The methodological approaches utilized are quantile regression and wavelet analysis. The results...
Persistent link: https://www.econbiz.de/10014420385
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Heterogeneous Stock Market Reactions to COVID-19 : More Hidden Mechanisms
Liu, Zhifeng - 2020
This paper studies the heterogeneous effects of the COVID-19 outbreak on stock prices in China and its hidden mechanisms from multi perspectives. First, we confirm the recent conclusion that the spread of the epidemic has a significant negative impact on stock market returns. However, this...
Persistent link: https://www.econbiz.de/10012822628
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Oil Price Shocks and Stock Market Returns : Evidence from Oil-Importing and Oil-Exporting Countries
Yang, Li - 2012
While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...
Persistent link: https://www.econbiz.de/10013096494
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Impact of the Introduction of Call Auction on Price Discovery : Evidence from the Indian Stock Market Using High-Frequency Data
Agarwalla, Sobhesh Kumar - 2012
call auction on market quality at phases with high volatility or information asymmetry. The results suggest that the … intraday pattern of volume and volatility in the continuous market remains unchanged even after the introduction of the call …. The volatility and volume still take about 30 minutes to stabilize and the auction attracts very little volume. There is …
Persistent link: https://www.econbiz.de/10013096649