PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST
Author:
Affiliation:
1. Eastern Mediterranean University; Famagusta, Northern Cyprus, Turkey and Department of Economics; University of Pretoria; Pretoria South Africa
2. Department of Economics; University of Pretoria; Pretoria South Africa
Publisher
Wiley
Subject
Economics and Econometrics
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/boer.12119/fullpdf
Reference53 articles.
1. Computation and analysis of multiple structural change models;Bai;Journal of Applied Econometrics,2003
2. Investor sentiment and the cross-section of stock returns;Baker;The Journal of Finance,2006
3. Market liquidity as a sentiment indicator;Baker;Journal of Financial Markets,2004
4. Investor sentiment and the cross-section of stock returns;Baker;Journal of Finance,2006
5. Investor sentiment in the stock market;Baker;Journal of Economic Perspectives,2007
Cited by 30 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets;Asia-Pacific Financial Markets;2024-02-28
2. Overview of the Nexus Between Investor Sentiment-return Relation and its Antecedents: A Systematic Literature Review;Vision: The Journal of Business Perspective;2024-01-15
3. Business applications and state‐level stock market realized volatility: A forecasting experiment;Journal of Forecasting;2023-11-13
4. Frequency domain causality and quantile connectedness between investor sentiment and cryptocurrency returns;International Review of Economics & Finance;2023-11
5. Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models;Future Business Journal;2023-09-15
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3