The Effect Of Investor Sentiment On Futures Market Returns And Volatility
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The Effect Of Investor Sentiment On Futures Market Returns And Volatility
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Author : Kenneth Steven Lovell
language : en
Publisher:
Release Date : 2013
The Effect Of Investor Sentiment On Futures Market Returns And Volatility written by Kenneth Steven Lovell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Finance categories.
Investor Sentiment Effect In European Stock Markets
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Author : Elena Ferrer
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2017-04-26
Investor Sentiment Effect In European Stock Markets written by Elena Ferrer and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-26 with Business & Economics categories.
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.
Stock Message Boards
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Author : Y. Zhang
language : en
Publisher: Springer
Release Date : 2014-12-04
Stock Message Boards written by Y. Zhang and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-04 with Business & Economics categories.
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.
Investor Sentiment And The Commodity Basis
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Author : Werner Schnell
language : en
Publisher:
Release Date : 2013
Investor Sentiment And The Commodity Basis written by Werner Schnell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
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.
How Does Investor Sentiment Have Impacts On Stock Returns And Volatility In The Growth Enterprise Market In China
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Author : Jinshi Zheng
language : en
Publisher:
Release Date : 2020
How Does Investor Sentiment Have Impacts On Stock Returns And Volatility In The Growth Enterprise Market In China written by Jinshi Zheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
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.
The Effect Of Futures Trading On Cash Market Volatility
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Author : Gary Robinson
language : en
Publisher:
Release Date : 1993
The Effect Of Futures Trading On Cash Market Volatility written by Gary Robinson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Finance categories.
Relationship Between Individual Investor Sentiment With Its Volatility And Returns Of Small Cap Stocks
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Author : Qin Yong
language : en
Publisher:
Release Date : 2015
Relationship Between Individual Investor Sentiment With Its Volatility And Returns Of Small Cap Stocks written by Qin Yong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
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.
Sentiment Prone Investors And Volatility Dynamics Between Spot And Futures Markets
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Author : Pilar Corredor
language : en
Publisher:
Release Date : 2014
Sentiment Prone Investors And Volatility Dynamics Between Spot And Futures Markets written by Pilar Corredor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
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.
The Buy Write Strategy
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Author : Oliver Palmer
language : en
Publisher:
Release Date : 2015
The Buy Write Strategy written by Oliver Palmer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Capitalists and financiers categories.
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.
Stocks For The Long Run
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Author : Jeremy J. Siegel
language : en
Publisher: McGraw-Hill Companies
Release Date : 1998
Stocks For The Long Run written by Jeremy J. Siegel and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
"Siegel's conclusion - that, when long-term purchasing power is considered, stocks are actually safer than bank deposits! - is now strengthened with updated research findings and information that include a thorough analysis of the "Dow 10" and other yield-based strategies that have captivated investors over the past several years; how the Baby Boom generation will change the stock market forever - knowledge that can energize your own portfolio's performance; the amazing effect of the calendar on stock market performance - and how investing at certain times of the year can enhance performance; how the newest tax laws impact your investment returns and the funding of your retirement account; analyses and performance comparisons of highly publicized market sectors such as small cap stocks, growth stocks, and the "Nifty Fifty" stocks; and how Wall Street pros use investor sentiment and Fed policy to successfully time stock purchases over the investment cycle."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved