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Does mixed-frequency investor sentiment impact stock returns? : based on the empirical study of MIDAS regression model
Yang, Chunpeng; Zhang, Rengui - In: Applied economics 46 (2014) 7/9, pp. 966-972
Persistent link: https://www.econbiz.de/10010399534
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The impact of sentiment and attention measures on stock market volatility
Audrino, Francesco; Sigrist, Fabio Roman Albert; … - In: International journal of forecasting 36 (2020) 2, pp. 334-357
Persistent link: https://www.econbiz.de/10012414802
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Investor sentiment, realized volatility and stock returns
Abdelmalek, Wafa - In: Review of behavioral finance : RBF 14 (2022) 5, pp. 668-700
Persistent link: https://www.econbiz.de/10013453743
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An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
Jawadi, Fredj; Namouri, Hela; Ftiti, Zied - In: Journal of economic dynamics & control 91 (2018), pp. 469-484
Persistent link: https://www.econbiz.de/10011974225
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Investor sentiment and the prediction of stock returns : a quantile regression approach
Ma, Chen; Xiao, Shisong; Ma, Zonggang - In: Applied economics 50 (2018) 50, pp. 5401-5415
Persistent link: https://www.econbiz.de/10012062185
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Geopolitical risks, investor sentiment and industry stock market volatility in China : evidence from a quantile regression approach
Guo, Peng; Shi, Jing - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10014534821
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Distillation of news flow into analysis of stock reactions
Zhang, Junni L.; Härdle, Wolfgang; Chen, Cathy Y.; … - 2015
different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …
Persistent link: https://www.econbiz.de/10010471736
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A non-linear approach for predicting, stock returns and volatility with the use of investor sentiment indices
Bekiros, Stelios; Gupta, Rangan; Kyei, Clement - In: Applied economics 48 (2016) 31/33, pp. 2895-2898
Persistent link: https://www.econbiz.de/10011614191
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Market sentiment dispersion and its effects on stock return and volatility
See-To, Eric W. K.; Yang, Yang - In: Electronic markets : the international journal on … 27 (2017) 3, pp. 283-296
Persistent link: https://www.econbiz.de/10011751451
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On the time-varying dynamics of stock and commodity momentum returns
Stadtmüller, Immo; Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 46 (2022) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10013341591