Intraday sentiment and market returns
Author
Abstract
Suggested Citation
DOI: 10.1016/j.iref.2020.03.010
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2014.
"The long of it: Odds that investor sentiment spuriously predicts anomaly returns,"
Journal of Financial Economics, Elsevier, vol. 114(3), pages 613-619.
- Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012. "The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns," NBER Working Papers 18231, National Bureau of Economic Research, Inc.
- Yang, Chunpeng & Gao, Bin, 2014. "The term structure of sentiment effect in stock index futures market," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 171-182.
- De Long, J Bradford, et al, 1990.
"Positive Feedback Investment Strategies and Destabilizing Rational Speculation,"
Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Scholarly Articles 27693805, Harvard University Department of Economics.
- Han, Bing & Kumar, Alok, 2013. "Speculative Retail Trading and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 377-404, April.
- Eduardo Schwartz & James E. Smith, 2000. "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Management Science, INFORMS, vol. 46(7), pages 893-911, July.
- Baker, Malcolm & Stein, Jeremy C., 2004.
"Market liquidity as a sentiment indicator,"
Journal of Financial Markets, Elsevier, vol. 7(3), pages 271-299, June.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc.
- Gregory W. Brown & Michael T. Cliff, 2005. "Investor Sentiment and Asset Valuation," The Journal of Business, University of Chicago Press, vol. 78(2), pages 405-440, March.
- Malcolm Baker & Jeffrey Wurgler, 2006.
"Investor Sentiment and the Cross‐Section of Stock Returns,"
Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
- Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
- Schmeling, Maik, 2009.
"Investor sentiment and stock returns: Some international evidence,"
Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
- Schmeling, Maik, 2008. "Investor sentiment and stock returns: Some international evidence," Hannover Economic Papers (HEP) dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Verma, Rahul & Soydemir, Gökçe, 2009. "The impact of individual and institutional investor sentiment on the market price of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1129-1145, August.
- Wang, Yaw-Huei & Keswani, Aneel & Taylor, Stephen J., 2006. "The relationships between sentiment, returns and volatility," International Journal of Forecasting, Elsevier, vol. 22(1), pages 109-123.
- Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2012.
"The short of it: Investor sentiment and anomalies,"
Journal of Financial Economics, Elsevier, vol. 104(2), pages 288-302.
- Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2011. "The Short of It: Investor Sentiment and Anomalies," NBER Working Papers 16898, National Bureau of Economic Research, Inc.
- Changyun Wang, 2003. "Investor sentiment, market timing, and futures returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(12), pages 891-898.
- Bin Gao & Chunpeng Yang, 2018. "Investor Trading Behavior and Sentiment in Futures Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(3), pages 707-720, February.
- repec:bla:jfinan:v:53:y:1998:i:6:p:1839-1885 is not listed on IDEAS
- Changyun Wang, 2001.
"Investor Sentiment and Return Predictability in Agricultural Futures Markets,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(10), pages 929-952, October.
- Wang, Changyun, 2000. "Investor sentiment and return predictability in agricultural futures markets," MPRA Paper 36425, University Library of Munich, Germany, revised Sep 2002.
- Gao, Bin & Yang, Chunpeng, 2017. "Forecasting stock index futures returns with mixed-frequency sentiment," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 69-83.
- Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012.
"Global, local, and contagious investor sentiment,"
Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
- Malcolm Baker & Jeffrey Wurgler & Yu Yuan, 2009. "Global, local, and contagious investor sentiment," Globalization Institute Working Papers 37, Federal Reserve Bank of Dallas.
- Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2002. "Order imbalance, liquidity, and market returns," Journal of Financial Economics, Elsevier, vol. 65(1), pages 111-130, July.
- Yang, Chunpeng & Zhou, Liyun, 2015. "Investor trading behavior, investor sentiment and asset prices," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 42-62.
- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998.
"A model of investor sentiment,"
Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
- Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A Model of Investor Sentiment," Scholarly Articles 30747159, Harvard University Department of Economics.
- Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
- Haiqiang Chen & Terence Tai-Leung Chong & Xin Duan, 2010. "A principal-component approach to measuring investor sentiment," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 339-347.
- Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
- Harrison Hong & Jeremy C. Stein, 1999.
"A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,"
Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
- Harrison Hong & Jeremy C. Stein, 1997. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets," NBER Working Papers 6324, National Bureau of Economic Research, Inc.
- Andrei A. Kirilenko & Andrew W. Lo, 2013. "Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 51-72, Spring.
- Li, Jinfang, 2014. "Multi-period sentiment asset pricing model with information," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 118-130.
- Chunpeng Yang & Rengui Zhang, 2014. "Does mixed-frequency investor sentiment impact stock returns? Based on the empirical study of MIDAS regression model," Applied Economics, Taylor & Francis Journals, vol. 46(9), pages 966-972, March.
- John Y. Campbell & Albert S. Kyle, 1993.
"Smart Money, Noise Trading and Stock Price Behaviour,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(1), pages 1-34.
- Campbell, J.Y. & Kyle, A.S., 1988. "Smart Money, Noise Trading And Stock Price Behavior," Papers 95, Princeton, Department of Economics - Financial Research Center.
- John Y. Campbell & Albert S. Kyle, 1988. "Smart Money, Noise Trading and Stock Price Behavior," NBER Technical Working Papers 0071, National Bureau of Economic Research, Inc.
- Kyle, Albert & Campbell, John, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," Scholarly Articles 3208217, Harvard University Department of Economics.
- Kurov, Alexander, 2010. "Investor sentiment and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 139-149, January.
- Brown, Gregory W. & Cliff, Michael T., 2004. "Investor sentiment and the near-term stock market," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 1-27, January.
- Robert I. Webb & David P. Simon & Roy A. Wiggins III, 2001. "S&P futures returns and contrary sentiment indicators," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(5), pages 447-462, May.
- Alexander Kurov, 2008. "Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets," The Financial Review, Eastern Finance Association, vol. 43(1), pages 107-127, February.
- Jinfang Li & Chunpeng Yang, 2017. "The cross-section and time-series effects of individual stock sentiment on stock prices," Applied Economics, Taylor & Francis Journals, vol. 49(47), pages 4806-4815, October.
- Gonzalo Cortazar & Lorenzo Naranjo, 2006. "An N‐factor Gaussian model of oil futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(3), pages 243-268, March.
- Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, vol. 100(2), pages 367-381, May.
- Baker, Steven D. & Hollifield, Burton & Osambela, Emilio, 2016. "Disagreement, speculation, and aggregate investment," Journal of Financial Economics, Elsevier, vol. 119(1), pages 210-225.
- Jinfang Li, 2015. "The asymmetric effects of investor sentiment and monetary policy on stock prices," Applied Economics, Taylor & Francis Journals, vol. 47(24), pages 2514-2522, May.
- Joseph, Kissan & Babajide Wintoki, M. & Zhang, Zelin, 2011. "Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1116-1127, October.
- Alok Kumar & Charles M.C. Lee, 2006. "Retail Investor Sentiment and Return Comovements," Journal of Finance, American Finance Association, vol. 61(5), pages 2451-2486, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Shen, Yiran & Liu, Chang & Sun, Xiaolei & Guo, Kun, 2023. "Investor sentiment and the Chinese new energy stock market: A risk–return perspective," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 395-408.
- Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
- Yang Gao & Chengjie Zhao & Bianxia Sun & Wandi Zhao, 2022. "Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
- Angelini, Pierpaolo & Maturo, Fabrizio, 2022. "The price of risk based on multilinear measures," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 39-57.
- Karam KIM & Doojin RYU, 2020. "Predictive ability of investor sentiment for the stock market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 33-46, December.
- Gao, Yang & Zhao, Chengjie & Wang, Yaojun, 2024. "Investor sentiment and stock returns: New evidence from Chinese carbon-neutral stock markets based on multi-source data," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 438-450.
- Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2021. "Stock Market’s responses to intraday investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Ahmed Bouteska & Taimur Sharif & Mohammad Zoynul Abedin, 2024. "Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI‐listed firms," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3487-3509, July.
- Kim, Karam & Ryu, Doojin & Yang, Heejin, 2021. "Information uncertainty, investor sentiment, and analyst reports," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Xiaohong Shen & Gaoshan Wang & Yue Wang & Alfred Peris, 2021. "The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment," Discrete Dynamics in Nature and Society, Hindawi, vol. 2021, pages 1-14, December.
- Bouteska, Ahmed & Cardillo, Giovanni & Harasheh, Murad, 2023. "Is it all about noise? Investor sentiment and risk nexus: evidence from China," Finance Research Letters, Elsevier, vol. 57(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gao, Bin & Yang, Chunpeng, 2017. "Forecasting stock index futures returns with mixed-frequency sentiment," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 69-83.
- Yang, Chunpeng & Gao, Bin, 2014. "The term structure of sentiment effect in stock index futures market," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 171-182.
- Li, Jinfang, 2020. "The momentum and reversal effects of investor sentiment on stock prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Gao, Bin & Xie, Jun & Jia, Yun, 2019. "A futures pricing model with long-term and short-term traders," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 9-28.
- Li, Jinfang, 2019. "Sentiment trading, informed trading and dynamic asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 210-222.
- Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2019. "Firm-specific investor sentiment and daily stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Yang, Chunpeng & Zhou, Liyun, 2015. "Investor trading behavior, investor sentiment and asset prices," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 42-62.
- Wang, Ruina & Li, Jinfang, 2021. "The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Jinfang Li, 2021. "The term structure effects of individual stock investor sentiment on excess returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1695-1705, April.
- Li, Jinfang, 2017. "Investor sentiment, heterogeneous agents and asset pricing model," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 504-512.
- Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2024. "Dual effects of investor sentiment and uncertainty in financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 300-315.
- Di, Li & Shaiban, Mohammed Sharaf & Hasanov, Akram Shavkatovich, 2021. "The power of investor sentiment in explaining bank stock performance: Listed conventional vs. Islamic banks," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
- Mariem Talbi & Amel Ben Halima, 2019. "Global Contagion of Investor Sentiment during the US Subprime Crisis: The Case of the USA and the Region of Latin America," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 163-174.
- Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2021. "Stock Market’s responses to intraday investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Zhou, Liyun & Zhang, Rixin & Huang, Jialiang, 2019. "Investor trading behavior on agricultural future prices," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 365-379.
- Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Lin, Chu-Bin & Chou, Robin K. & Wang, George H.K., 2018. "Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 17-31.
- Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Han, Xing & Li, Youwei, 2017.
"Can investor sentiment be a momentum time-series predictor? Evidence from China,"
Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
- Han, Xing & Li, Youwei, 2016. "Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China," RIEI Working Papers 2016-07, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration, revised 12 Jan 2017.
- Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2013. "Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 572-591.
More about this item
Keywords
Intraday sentiment; Returns predictability; Spillover effect; Contagion effect; Out-of-sample forecasting;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:69:y:2020:i:c:p:48-62. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.