Download or read book The Effect of Investor Sentiment on Futures Market Returns and Volatility written by Kenneth Steven Lovell and published by . This book was released on 2013 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investor Sentiment Effect in European Stock Markets written by Elena Ferrer and published by Ed. Universidad de Cantabria. This book was released on 2017-04-26 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: La presente obra se adentra en el estudio del potencial efecto del sentimiento del inversor sobre la valoración de activos, su efecto en los pronósticos de beneficios y recomendaciones de los analistas y su impacto sobre los activos derivados. Abarca el efecto del sentimiento del inversor en cuatro de los mercados europeos más importantes, Alemania, España, Francia y Reino Unido, mercados con características diferentes, en cuanto a tamaño, tipología del inversor y funcionamiento, lo que permite extraer importantes conclusiones adicionales.

Download or read book Stock Message Boards written by Y. Zhang and published by Springer. This book was released on 2014-12-04 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Message Boards provides empirical data to reveal how online communication not only impacts stock returns, but also volatility, trading volume, and liquidity, as well as an investing firm's value and reputation.

Download or read book Sentiment Prone Investors and Volatility Dynamics Between Spot and Futures Markets written by Pilar Corredor and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in different countries: the S&P500 for the US, and a representative set of European indexes (CAC40, DAX30, FTSE100, IBEX35 and EuroStoxx50). Consistent with expectations, we have shown that the correlation is not stable with the level of investor sentiment. More specifically, the correlation between the two markets diminishes significantly during periods of high investor sentiment. Moreover, volatility shocks in either market are also found to have less impact during these periods. These results are compatible with behavioural finance theories suggesting that high investor sentiment leads to an increase in noise trading and a decline in arbitrage activity due to institutional investors' attempts to limit their risk exposure.

Download or read book Market Volatility and Investor Confidence written by New York Stock Exchange. Market Volatility and Investor Confidence Panel and published by . This book was released on 1990 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investor Sentiment and the Commodity Basis written by Werner Schnell and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the ongoing research about whether accusing speculators for irrational exuberance is really justified. In particular, I investigate the effect of investor sentiment on the commodity market. For this analysis I construct a sentiment index as the first principal component of option implied volatility and TED spread. The common criticism on this kind of analysis is that the sentiment index might not only contain irrational exaggerations but also changes in fundamental variables. To address this objection, on the one hand I orthogonalize the index on a number of macroeconomic variables, on the other hand I use the commodity basis as a dependent variable instead of the prices. The assumption is that change in fundamentals should have an effect on spot and futures prices likewise but sentiment asymmetrically affects only futures market. To my knowledge, I am the first one that conducts this kind of analyses. While I do not find any significant effect of the sentiment index on the commodity basis, I find a significant effect for returns. This suggests that the sentiment index, even after orthogonalization, is still contaminated with fundamental variables and consequently does not measure only pure irrational behavior. Even after controlling for variables proposed by the storage and expectation theory, the result stays insignificant. Moreover, I also do not find a significant effect of investor sentiment on open speculative positions and on the inventory holdings.

Download or read book The Effect of Futures Trading on Cash Market Volatility written by Gary Robinson and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Relationship Between Individual Investor Sentiment with Its Volatility and Returns of Small Cap Stocks written by Qin Yong and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to the irrational behavior of individual investors have a significant impact on the stock market, and Chinese stock market with inexperienced individual investors as the main body, our individual investor sentiment may play a more important role than in Western countries in the stock trading process. Therefore, this paper use ARMA-GARCH model to examine the relationship between the investor sentiment along its volatility and the small-cap stocks, which are individually described by newly opened stock trading accounts and the CSI 500. The results show that: The individual investor behavior exhibits a short-term ARCH effects and small-cap stocks exhibit short-term gain inertia; the high number of newly opened stock trading accounts responses to high small-cap stocks yields and display a "spillover effect" to market return; using newly opened stock trading accounts as individual investor sentiment index has great explanatory power to small-cap stocks in China.

Download or read book How Does Investor Sentiment Have Impacts on Stock Returns and Volatility in the Growth Enterprise Market in China written by Jinshi Zheng and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation mainly explores the effect of investor sentiment on stock returns and volatility on Growth Enterprise in China using monthly data from Shenzhen Stock Exchange of China from June 2010 to November 2019. Using five explicit and market-related implicit indicators an investor sentiment has been measured and constructed with the help of principal component analysis. The analysis has been done by employing a vector autoregression(VAR) model and impulse response functions (IRFs) generated from a VAR model to examine the relationship between the unanticipated changes in investor sentiment and stock returns and volatility. We also establish EGARCH model to test the validity of previous results and if the asymmetric impact of positive and negative news on market returns volatility. The results show a significant impact of investor sentiment on stock return and volatility. We also document that there is a positive leverage effect between investor sentiment and the volatility of returns. The findings of this paper can help both individual and institutional investors have a better understanding of GEM market and improve their investment returns by incorporating investor sentiment into their asset forecasting model. This paper also provides policymakers guidance on reducing volatility on stock markets from the perspective of investor sentiment. Additionally, this paper has important contributions to behavioral finance and adds to the limited number of studies on investor sentiment and stock return in not only the Chinese market but emerging markets.

Download or read book Geopolitical Risk on Stock Returns Evidence from Inter Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

Download or read book Essays on Investors Sentiment and Attention written by Daniele Ballinari and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The first paper investigates the predictive power of investors' sentiment and attention for the stock returns' volatility. We introduce a novel and extensive dataset that combines information from social media platforms, news articles, search engine data, and information consumption. Applying a state-of-the-art sentiment classification technique, we construct measures of investors' sentiment and attention for 18 U.S. stocks and the financial market in general. We identify investors' attention, as measured by the number of Google searches on financial keywords (e.g. «financial market» and «stock market»), and the daily volume of company-specific short messages posted on the social media platform StockTwits to be the most relevant variables. The second paper investigates a potential driver of the predictive power documented in the first paper. We focus on news releases of 360 U.S. companies from the S&P 500 universe and analyze how investors' attention affects the speed at which new information is incorporated in stock prices. Our results show that higher investors' attention around news releases is related to higher contemporaneous volatility. Further, retail investor attention increases the post-announcement volatility, whereas institutional investor attention has a small but negative impact on volatility on days following news releases. The third paper extends the analysis of the first paper to the multivariate stock return volatility. Building on the theoretical and empirical evidence that links the price comovements with retail investors' behavior, we analyze the predictive power of retail investors' sentiment and attention for the realized correlation matrix of 35 Dow Jones stocks. We propose a new model of realized covariances that allows exogenous predictors to influence the correlation dynamics while ensuring the predicted matrices' positive definiteness. Using this model, we find retail investors' attention to have predictive power for return correlations, especially for longer forecasting horizons and during the COVID-19 pandemic. The last paper analyzes in more detail the time-series properties of the daily online investor sentiment measures used in the first two papers. We detect structural breaks in the sentiment series for most of the 360 U.S. companies considered in this paper. We illustrate the economic significance of this finding with a return prediction exercise.

Download or read book The Buy Write Strategy written by Oliver Palmer and published by . This book was released on 2015 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Existing research focuses on buy-write strategy performance when index options are used as the underlying asset, finding positive excess risk-adjusted returns which are suggestive of option overpricing. My purpose is to extend this literature by conducting a thorough analysis of strategy performance when individual stock options are used instead of index options. Moreover, I examine whether underlying asset class and investor sentiment has an effect on buy-write performance. Using US data from 2008 - 2015, I sort S&P 500 constituents to form portfolios of large, small, growth and value stocks and test for differences in buy-write performance. The returns of each portfolio are then regressed against 2 separate proxies of investor sentiment and several control variables to test the effects of investor sentiment. Contrary to aforementioned buy-write research, I find no evidence of excess risk-adjusted returns, likely due to the implied vs. realised volatility anomaly which is observed in index options but not stock options. Despite existing evidence that options on small and value stocks are expensive relative to large and growth stocks, I find no evidence that firm characteristic has an effect on buy-write performance. This is potentially explained by the relative illiquidity of small and value options resulting in increased trading costs which are not accounted for in previous studies. Consistent with the literature, my results show that in general, investor sentiment has a positive relationship with buy-write returns, especially for small and value stocks. Additional sub-sample analysis shows that during a market downturn the effect of investor sentiment is much stronger, likely due the limited ability of arbitrageurs to exploit mispriced securities. During times of low market volatility the effect of investor sentiment becomes lagged and much weaker in magnitude.

Download or read book The Asymmetric Effects of Investor Sentiment written by Chandler Lutz and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the returns on lottery-like stocks to construct a novel index for investor sentiment in the stock market. This new measure is closely related to previously developed sentiment indicators, but more accurately tracks speculative episodes over the sample period. Using our index, we find that the relationship between sentiment and returns is asymmetric: during bear markets, high sentiment predicts low future returns for the cross-section of speculative stocks and the market overall while the relationship during bull markets is weak and often insignificant. Thus, the results suggest that sophisticated investors only act as corrective force during certain time periods. We also show that our index predicts implied volatility, media pessimism, and mutual fund flows. Overall, our findings are consistent with both the theories and anecdotal accounts of investor sentiment in the stock market.

Download or read book The Asymmetric Impact of Investor Sentiment on Commodities Returns and Volatility written by Aktham Issa Maghyereh and published by . This book was released on 2019 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the effects of investor sentiment on returns and volatility of eight different commodities. Our findings suggest that sentiment has a predictive power on return and volatility of the commodities. Fundamentally, commodities return and volatility are positively associated with the sentiment. Furthermore, the empirical evidence suggests that the sentiment has a significant asymmetrical impact on volatilities such that negative sentiment has a significantly greater impact on volatility than does positive sentiment.

Download or read book Investor Sentiment and Return Predictability of Economic Policy Uncertainty written by Zehui Wang and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both economic policy uncertainty (EPU) innovation and investor sentiment affect stock market returns. However, their relative importance is typically examined separately in the finance literature. This study concentrates on examining how different investor sentiment regimes affect the relationship of EPU innovation and future stock market returns. Using the Baker et al. (2016) news-based measure to capture the changes in EPU in the United States and an indirect market-based index (Baker and Wurgler, 2006) as a proxy for different sentiment regimes, we find that EPU innovation is negatively correlated with future stock market returns. The negative predictive ability of changes in EPU on future stock returns is only significant under a high-sentiment regime. After adding the lagged business cycle and market volatility variables, the negative predictive ability of changes in EPU on future stock returns is still better under a high-sentiment regime than the negative predictive ability under a low-sentiment regime.

Download or read book Predicting Stock Market Returns and Volatility with Investor Sentiment written by Jerry C. Ho and published by . This book was released on 2013 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low market returns. In Japan both the level and the change in consumer confidence boost the market return in the next month. Further, shifts in sentiment significantly move conditional volatility in most of the countries, and in Italy such impacts lead to an increase in returns by 4.7% in the next month.

Download or read book Investor Sentiment Volatility and Stock Return Comovements written by Abhijeet Chandra and published by . This book was released on 2013 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the stock return comovements from two different perspectives, one being trading behaviour-induced return comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor sentiment index and examine whether it has relationship with return comovements induced by investor's trading behaviour and market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks. In a cross-sectional framework, we find higher level of market uncertainty characterized by more biased investor sentiment induces highly correlated trading behaviour and thereby generates stronger correlated returns, causing stronger return comovements. The findings from our study imply that irrational and idiosyncratic sentiment of market participants, particularly which of investors, causes significant return comovement.