IDEAS home Printed from https://ideas.repec.org/f/c/psh718.html
   My authors  Follow this author

Dehua Shen

(We have lost contact with this author. Please ask them to update the entry or send us the correct address or status for this person. Thank you.)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.

    Cited by:

    1. Duanmu, Jun & Hur, Jungshik & Li, Yongjia, 2024. "Diversification and idiosyncratic volatility puzzle: Evidence from ETFs," Research in International Business and Finance, Elsevier, vol. 71(C).
    2. Ma, Yao & Yang, Baochen & Ye, Tao, 2024. "Quality acceleration and cross-sectional returns: Empirical evidence," Research in International Business and Finance, Elsevier, vol. 69(C).

  2. Wei Zhang & Xiao Li & Dehua Shen & Andrea Teglio, 2015. "R2 and Idiosyncratic Volatility: Which Captures the Firm-specific Return Variation?," Working Papers 2015/06, Economics Department, Universitat Jaume I, Castellón (Spain).

    Cited by:

    1. Cong, Yunyu & Sun, Fangfang & Wang, Fusheng & Ye, Qiang, 2022. "Information assimilation and stock return synchronicity: Evidence from an investor relations management platform," Emerging Markets Review, Elsevier, vol. 53(C).
    2. Ahmad Fraz & Arshad Hassan, 2017. "Stock Price Synchronicity and Information Environment," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(4), pages 213-232, December.
    3. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
    4. Huai-Long Shi & Wei-Xing Zhou, 2017. "Time series momentum and contrarian effects in the Chinese stock market," Papers 1702.07374, arXiv.org.
    5. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    6. Meng, Yongqiang & Shen, Dehua & Xiong, Xiong, 2023. "When stock price crash risk meets fundamentals," Research in International Business and Finance, Elsevier, vol. 65(C).
    7. Todea, Alexandru & Petrescu, Daiana Florina, 2021. "Is stock price informativeness shaped by our genes?," Economic Modelling, Elsevier, vol. 103(C).
    8. Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.
    9. He, Feng & Qin, Shuqi & Liu, Yuanyuan & Wu, Ji (George), 2022. "CSR and idiosyncratic risk: Evidence from ESG information disclosure," Finance Research Letters, Elsevier, vol. 49(C).
    10. Li, Xiao & Shen, Dehua & Zhang, Wei, 2018. "Do Chinese internet stock message boards convey firm-specific information?," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 1-14.
    11. Chu, Gang & Li, Xiao & Zhang, Yongjie, 2022. "Information demand and net selling around earnings announcement," Research in International Business and Finance, Elsevier, vol. 59(C).
    12. Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei, 2016. "Market reaction to internet news: Information diffusion and price pressure," Economic Modelling, Elsevier, vol. 56(C), pages 43-49.
    13. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2020. "Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    14. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
    15. Anh Tho To & Trung Dao Le & Quoc Tuan Tran & Thanh Lam Nguyen & Thi Thu Hong Ho, 2024. "Large Shareholders and Stock Price Synchronicity: Evidence from Vietnam," Global Business Review, International Management Institute, vol. 25(6), pages 1409-1422, December.
    16. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
    17. Li, Xiao & Xing, Yao, 2023. "When stock return synchronicity meets investor sentiment," Finance Research Letters, Elsevier, vol. 53(C).
    18. Feng, Xunan & Chan, Kam C., 2016. "Information advantage, short sales, and stock returns: Evidence from short selling reform in China," Economic Modelling, Elsevier, vol. 59(C), pages 131-142.
    19. Peng, Cheng & Zhu, Huiming & Jia, Xianghua & You, Wanhai, 2017. "Stock price synchronicity to oil shocks across quantiles: Evidence from Chinese oil firms," Economic Modelling, Elsevier, vol. 61(C), pages 248-259.
    20. Chen Chen & M. Mahdi Moeini Gharagozloo & Layla Darougar & Lei Shi, 2022. "The way digitalization is impacting international financial markets: Stock price synchronicity," International Finance, Wiley Blackwell, vol. 25(3), pages 396-415, December.
    21. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    22. Shen, Dehua & Tong, Zezheng & Goodell, John W., 2024. "Do online message boards convey cryptocurrency-specific information?," International Review of Financial Analysis, Elsevier, vol. 91(C).

Articles

  1. Shi, Guiqiang & Goodell, John W. & Shen, Dehua, 2024. "Investor attention and GameFi returns: A transfer entropy analysis," Finance Research Letters, Elsevier, vol. 61(C).

    Cited by:

    1. Aslanidis, Nektarios & Bariviera, Aurelio F. & Savva, Christos S., 2024. "Do online attention and sentiment affect cryptocurrencies’ correlations?," Research in International Business and Finance, Elsevier, vol. 71(C).

  2. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.

    Cited by:

    1. Essa Hamad Al-Mansouri & Ahmet Faruk Aysan & Ruslan Nagayev, 2025. "Beyond the Buzz: A Measured Look at Bitcoin’s Viability as Money," JRFM, MDPI, vol. 18(1), pages 1-22, January.
    2. Silky Vigg Kushwah & Shab Hundal & Payal Goel, 2024. "Unveiling Interconnectedness and Volatility Transmission: A Novel GARCH Analysis of Leading Global Cryptocurrencies," International Journal of Economics and Financial Issues, Econjournals, vol. 14(3), pages 132-139, May.
    3. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).

  3. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).

    Cited by:

    1. Duan, Huayou & Zhao, Chenchen & Wang, Lu & Liu, Guangqiang, 2024. "The relationship between renewable energy attention and volatility: A HAR model with markov time-varying transition probability," Research in International Business and Finance, Elsevier, vol. 71(C).

  4. Shen, Dehua & Tong, Zezheng & Goodell, John W., 2024. "Do online message boards convey cryptocurrency-specific information?," International Review of Financial Analysis, Elsevier, vol. 91(C).

    Cited by:

    1. Zhang, Zuochao & Shen, Dehua, 2024. "Internet stock message boards and the price–volume relationship: Registered users vs non-registered users," Finance Research Letters, Elsevier, vol. 61(C).
    2. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    3. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).

  5. Bo, Congcong & Shen, Dehua, 2023. "The road less travelled: GameFi as a hedge or a safe haven for international indices," Finance Research Letters, Elsevier, vol. 57(C).

    Cited by:

    1. Shi, Guiqiang & Goodell, John W. & Shen, Dehua, 2024. "Investor attention and GameFi returns: A transfer entropy analysis," Finance Research Letters, Elsevier, vol. 61(C).
    2. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    3. Emiliya James & Parthajit Kayal & Moinak Maiti & G. Balasubramanian, 2024. "A Study on the Hedging and Safe-Haven Features of Non-fungible Tokens Segments," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 23(4), pages 495-502, December.

  6. Zhu, Zhaobo & Ding, Wenjie & Jin, Yi & Shen, Dehua, 2023. "Dissecting the idiosyncratic volatility puzzle: A fundamental analysis approach," Research in International Business and Finance, Elsevier, vol. 66(C).
    See citations under working paper version above.
  7. Li, Yue & Goodell, John W. & Shen, Dehua, 2023. "Market reaction to climate risk report disclosures: The roles of investor attention and sentiment," Finance Research Letters, Elsevier, vol. 58(PA).

    Cited by:

    1. Wang, Zongrun & Fu, Haiqin & Ren, Xiaohang & Gozgor, Giray, 2024. "Exploring the carbon emission reduction effects of corporate climate risk disclosure: Empirical evidence based on Chinese A-share listed enterprises," International Review of Financial Analysis, Elsevier, vol. 92(C).
    2. Du, Qunyang & Xue, Mengzhe & Li, Zhongyuan & Min Du, Anna & Yang, Tianle, 2024. "Economic vulnerabilities and sustainability in energy utilities: Managing climate change in the face of geopolitical turmoil," Research in International Business and Finance, Elsevier, vol. 71(C).
    3. Liu, Peng & Chen, Yaru & Mu, Yan, 2024. "The impact of climate risk aversion on agribusiness share price volatility," Finance Research Letters, Elsevier, vol. 61(C).
    4. Pandey, Dharen Kumar & Kumari, Vineeta & Palma, Alessia & Goodell, John W., 2024. "Impact of ESG regulation on stock market returns: Investor responses to a reasonable assurance mandate," Finance Research Letters, Elsevier, vol. 64(C).
    5. Guo, Songlin & Sun, Weilu & Xi, Yue & Zhang, Bijia, 2024. "Governance network externality: Exploring systemic risk generation mechanisms," Research in International Business and Finance, Elsevier, vol. 70(PA).

  8. Hu, Yitong & Shen, Dehua & Urquhart, Andrew, 2023. "Attention allocation and cryptocurrency return co-movement: Evidence from the stock market," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1173-1185.

    Cited by:

    1. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    2. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    3. Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo, 2024. "Herding towards carbon neutrality: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 91(C).
    4. Chen, Yan & Liu, Yakun & Zhang, Feipeng, 2024. "Coskewness and the short-term predictability for Bitcoin return," Technological Forecasting and Social Change, Elsevier, vol. 200(C).

  9. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).

    Cited by:

    1. Ji, Tuo & Cai, Dong, 2024. "Major shareholder equity pledge and litigation risk," Finance Research Letters, Elsevier, vol. 65(C).
    2. Chen, Jingchao & Jia, Li, 2024. "Investor-listed company interaction and post-earnings announcement drift for individual stocks," Finance Research Letters, Elsevier, vol. 62(PA).
    3. Liang, Haoye & Sun, Yanqi & Xu, Cheng & Xiong, Wanfang & Cai, Wei, 2024. "Unleashing stock volatility and its implications for stock crash risk: Evidence from China’s price limit policies," Research in International Business and Finance, Elsevier, vol. 71(C).
    4. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    5. Shen, Dehua & Tong, Zezheng & Goodell, John W., 2024. "Do online message boards convey cryptocurrency-specific information?," International Review of Financial Analysis, Elsevier, vol. 91(C).

  10. Meng, Yongqiang & Goodell, John W. & Shen, Dehua, 2023. "Information shocks and investor underreaction: Evidence from the Bitcoin market," Finance Research Letters, Elsevier, vol. 56(C).

    Cited by:

    1. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    2. Meng, Yongqiang & Li, Xiao & Xiong, Xiong, 2024. "Information shocks and short-term market overreaction: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 93(C).
    3. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Zhang, Lei & Bouri, Elie & Chen, Yan, 2023. "Co-jump dynamicity in the cryptocurrency market: A network modelling perspective," Finance Research Letters, Elsevier, vol. 58(PB).
    5. Xiaoping Li & Zhipeng Zhang & Junyu Pan & Jihong Duan, 2023. "Investor attention and the predictability of the volatility of CNY‐CNH spreads: Evidence from a GARCH‐MIDAS model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 4939-4959, December.

  11. Meng, Yongqiang & Shen, Dehua & Xiong, Xiong, 2023. "When stock price crash risk meets fundamentals," Research in International Business and Finance, Elsevier, vol. 65(C).

    Cited by:

    1. Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.

  12. Jia, Boxiang & Goodell, John W. & Shen, Dehua, 2022. "Momentum or reversal: Which is the appropriate third factor for cryptocurrencies?," Finance Research Letters, Elsevier, vol. 45(C).

    Cited by:

    1. Eom, Cheoljun & Park, Jong Won, 2023. "Price behavior of small-cap stocks and momentum: A study using principal component momentum," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Christian Fieberg & Gerrit Liedtke & Daniel Metko & Adam Zaremba, 2023. "Cryptocurrency factor momentum," Quantitative Finance, Taylor & Francis Journals, vol. 23(12), pages 1853-1869, November.
    3. Skočir, Matevž & Lončarski, Igor, 2024. "On the importance of asset pricing factors in the relative valuation," Research in International Business and Finance, Elsevier, vol. 70(PB).
    4. Milan Fičura, 2023. "Impact of size and volume on cryptocurrency momentum and reversal," FFA Working Papers 5.003, Prague University of Economics and Business, revised 05 Apr 2023.
    5. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    6. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam, 2024. "Cryptocurrency anomalies and economic constraints," International Review of Financial Analysis, Elsevier, vol. 94(C).
    7. Hajek, Petr & Hikkerova, Lubica & Sahut, Jean-Michel, 2023. "How well do investor sentiment and ensemble learning predict Bitcoin prices?," Research in International Business and Finance, Elsevier, vol. 64(C).
    8. Wang, Yaqi & Wang, Chunfeng & Sensoy, Ahmet & Yao, Shouyu & Cheng, Feiyang, 2022. "Can investors’ informed trading predict cryptocurrency returns? Evidence from machine learning," Research in International Business and Finance, Elsevier, vol. 62(C).
    9. Ariston Karagiorgis & Antonis Ballis & Konstantinos Drakos, 2024. "The Skewness‐Kurtosis plane for cryptocurrencies' universe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2543-2555, April.
    10. Ren, Yi-Shuai & Ma, Chao-Qun & Kong, Xiao-Lin & Baltas, Konstantinos & Zureigat, Qasim, 2022. "Past, present, and future of the application of machine learning in cryptocurrency research," Research in International Business and Finance, Elsevier, vol. 63(C).
    11. Yao, Shouyu & Qin, Yuanyuan & Cheng, Feiyang & Wu, Ji(George) & Goodell, John.W., 2022. "Missing momentum in China: Considering individual investor preference," Finance Research Letters, Elsevier, vol. 49(C).
    12. Li, Bo & Liu, Zhenya & Teka, Hanen & Wang, Shixuan, 2023. "The evolvement of momentum effects in China: Evidence from functional data analysis," Research in International Business and Finance, Elsevier, vol. 64(C).
    13. Long, Huaigang & Demir, Ender & Będowska-Sójka, Barbara & Zaremba, Adam & Shahzad, Syed Jawad Hussain, 2022. "Is geopolitical risk priced in the cross-section of cryptocurrency returns?," Finance Research Letters, Elsevier, vol. 49(C).
    14. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    15. Leong, Minhao & Kwok, Simon, 2023. "The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns," Journal of Empirical Finance, Elsevier, vol. 74(C).
    16. Li, Yan & Huo, Jiale & Xu, Yongan & Liang, Chao, 2023. "Belief-based momentum indicator and stock market return predictability," Research in International Business and Finance, Elsevier, vol. 64(C).
    17. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).
    18. Petkova, Ralitsa, 2023. "Extrapolative beliefs about Bitcoin returns," Finance Research Letters, Elsevier, vol. 56(C).
    19. Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.
    20. Shen, Dehua & Tong, Zezheng & Goodell, John W., 2024. "Do online message boards convey cryptocurrency-specific information?," International Review of Financial Analysis, Elsevier, vol. 91(C).

  13. Feng, Jingwen & Goodell, John W. & Shen, Dehua, 2022. "ESG rating and stock price crash risk: Evidence from China," Finance Research Letters, Elsevier, vol. 46(PB).

    Cited by:

    1. Li, Yunzhong & Zhao, Yu & Ye, Chengfang & Li, Xiaofan & Tao, Yunqing, 2024. "ESG ratings and the cost of equity capital in China," Energy Economics, Elsevier, vol. 136(C).
    2. Gu, Jing & Shi, Xinyu & Wang, Junyao & Xu, Xun, 2024. "Examining the impact of market power discrepancy between supply chain partners on firm financial performance," International Journal of Production Economics, Elsevier, vol. 268(C).
    3. Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
    4. Shuxia Zhang & Xiangyang Yin & Liping Xu & Ziyu Li & Deyue Kong, 2022. "Effect of Environmental, Social, and Governance Performance on Corporate Financialization: Evidence from China," Sustainability, MDPI, vol. 14(17), pages 1-20, August.
    5. Ni, Yinan & Sun, Yanfei, 2023. "Environmental, social, and governance premium in Chinese stock markets," Global Finance Journal, Elsevier, vol. 55(C).
    6. Mu, Weiwei & Liu, Kefu & Tao, Yunqing & Ye, Yongwei, 2023. "Digital finance and corporate ESG," Finance Research Letters, Elsevier, vol. 51(C).
    7. Li, Qian & Liu, Shangqun, 2023. "Does alternative data reduce stock price crash risk? Evidence from third-party online sales disclosure in China," International Review of Financial Analysis, Elsevier, vol. 88(C).
    8. Qian, Kun & Shi, Bingjie & Song, Yunling & Wu, Hao, 2023. "ESG performance and loan contracting in an emerging market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    9. Ling, Aifan & Li, Jinlong & Zhang, Yugui, 2023. "Can firms with higher ESG ratings bear higher bank systemic tail risk spillover?—Evidence from Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    10. Bongiovanni, Alessio & Fiandrino, Simona, 2024. "Does firm environmental performance mitigate the market reaction to COVID-19 uncertainty?," Research in International Business and Finance, Elsevier, vol. 68(C).
    11. Guo, Kun & Li, Yichong & Zhang, Yunhan & Chen, Yingtong & Ma, Yanran, 2024. "Cross-country risk spillovers of ESG stock indices: Dynamic patterns and the role of climate transition risks," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    12. Sun, Zhennan & Du, Qunyang & Du, Anna Min & Li, Zhongyuan & Yang, Tianle, 2024. "The information environment and ecological environment perspectives: Capital market openness and firm ESG rating divergence," Research in International Business and Finance, Elsevier, vol. 71(C).
    13. Lai, Xiaobing & Zhang, Fan, 2022. "Can ESG certification help company get out of over-indebtedness? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    14. Shaista Wasiuzzaman & Vasanthan Subramaniam, 2023. "Board gender diversity and environmental, social and governance (ESG) disclosure: Is it different for developed and developing nations?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(5), pages 2145-2165, September.
    15. Meng, Yongqiang & Shen, Dehua & Xiong, Xiong, 2023. "When stock price crash risk meets fundamentals," Research in International Business and Finance, Elsevier, vol. 65(C).
    16. Ren, Xiaohang & Zeng, Gudian & Zhao, Yang, 2023. "Digital finance and corporate ESG performance: Empirical evidence from listed companies in China," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    17. Wenbing Luo & Ziyan Tian & Xusheng Fang & Mingjun Deng, 2024. "Can good ESG performance reduce stock price crash risk? Evidence from Chinese listed companies," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(3), pages 1469-1492, May.
    18. Yang Liu & Fukang Zhang & Han Zhang, 2024. "CEO foreign experience and corporate environmental, social, and governance (ESG) performance," Business Strategy and the Environment, Wiley Blackwell, vol. 33(4), pages 3331-3355, May.
    19. Goodell, John W. & Li, Mingsheng & Liu, Desheng & Wang, Yizhen, 2024. "Aligning empirical evidence on ESG with ancient conservative traditions," International Review of Financial Analysis, Elsevier, vol. 94(C).
    20. Liu, Xufeng & Wan, Die, 2023. "Retail investor trading and ESG pricing in China," Research in International Business and Finance, Elsevier, vol. 65(C).
    21. Daniela Nicoleta Sahlian & Adriana Florina Popa & Ștefania Amalia Nicoară & Corina Graziella Bâtcă-Dumitru, 2023. "Examining the Causality between Integrated Reporting and Stock Market Capitalization. The Case of the European Renewable Energy Equipment and Services Industry," Energies, MDPI, vol. 16(3), pages 1-12, January.
    22. Hendijani Zadeh, Mohammad, 2023. "Regional social capital and stock price crash risk: Evidence from the US," Finance Research Letters, Elsevier, vol. 51(C).
    23. Tang, Chia-Hsien & Lee, Yen-Hsien & Hsiao, Ming-Chun & Liu, Hung-Chun, 2024. "Exploring the impact of ESG components, CEO characteristics, and organizational themes on downside risk: Insights from Chinese firms," Finance Research Letters, Elsevier, vol. 61(C).
    24. Serge Darolles & Gaëlle Le Fol & Yuyi He, 2023. "Who can better push firms to go "green"? A look at ESG effects on stock returns," Post-Print hal-04462749, HAL.
    25. Yan Zhao & Ehsan Elahi & Zainab Khalid & Xuegang Sun & Fang Sun, 2023. "Environmental, Social and Governance Performance: Analysis of CEO Power and Corporate Risk," Sustainability, MDPI, vol. 15(2), pages 1-18, January.
    26. Guo, Chunying & Yang, Baochen & Fan, Ying, 2022. "Does mandatory CSR disclosure improve stock price informativeness? Evidence from China," Research in International Business and Finance, Elsevier, vol. 62(C).
    27. Yunfu Zhu & Haoling Yang & Ma Zhong, 2023. "Do ESG Ratings of Chinese Firms Converge or Diverge? A Comparative Analysis Based on Multiple Domestic and International Ratings," Sustainability, MDPI, vol. 15(16), pages 1-17, August.
    28. Wang, Liang & Wang, Qikai & Jiang, Fan, 2023. "Booster or stabilizer? Economic policy uncertainty: New firm-specific measurement and impacts on stock price crash risk," Finance Research Letters, Elsevier, vol. 51(C).
    29. Liu, Min & Guo, Tongji & Ping, Weiying & Luo, Liangqing, 2023. "Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?," Energy Economics, Elsevier, vol. 121(C).
    30. Bolognesi, Enrica & Burchi, Alberto, 2023. "The impact of the ESG disclosure on sell-side analysts’ target prices: The new era post Paris agreements," Research in International Business and Finance, Elsevier, vol. 64(C).
    31. Li, Yue & Goodell, John W. & Shen, Dehua, 2023. "Market reaction to climate risk report disclosures: The roles of investor attention and sentiment," Finance Research Letters, Elsevier, vol. 58(PA).
    32. Kopyrina, Olga & Wu, Kai & Ying, Zhanyu, 2023. "Greening through central inspection: The role of legitimacy pressure and risk-taking," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    33. Hui Zhao & Ao Lei & Yuhui Li & Dingjun Hong, 2023. "The Sectoral and Regional Peer Influences on Heavy-Pollution Corporate Environmental, Social, and Governance Performance," Sustainability, MDPI, vol. 15(17), pages 1-42, August.
    34. Luo, Deqing & Yan, Jingzhou & Yan, Qianhui, 2023. "The duality of ESG: Impact of ratings and disagreement on stock crash risk in China," Finance Research Letters, Elsevier, vol. 58(PB).
    35. Saeed, Asif & Alnori, Faisal & Yaqoob, Gohar, 2023. "Corporate social responsibility, industry concentration, and firm performance: Evidence from emerging Asian economies," Research in International Business and Finance, Elsevier, vol. 64(C).
    36. Heying Liu & Chan Lyu, 2022. "Can ESG Ratings Stimulate Corporate Green Innovation? Evidence from China," Sustainability, MDPI, vol. 14(19), pages 1-20, September.
    37. Zhu, Mengzhen & Shin, Hyun-Han, 2023. "ESG performance after the stock price crash and the role of foreign investors," Finance Research Letters, Elsevier, vol. 58(PC).
    38. Jung, Hail & Song, Chang-Keun, 2023. "Managerial perspectives on climate change and stock price crash risk," Finance Research Letters, Elsevier, vol. 51(C).
    39. Tang, Jinghua & Wang, Xiaoming & Liu, Qigui, 2023. "The spillover effect of customers' ESG to suppliers," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    40. Fiordelisi, Franco & Ricci, Ornella & Santilli, Gianluca, 2023. "Environmental engagement and stock price crash risk: Evidence from the European banking industry," International Review of Financial Analysis, Elsevier, vol. 88(C).
    41. Yingzheng Yan & Qiuwang Cheng & Menglan Huang & Qiaohua Lin & Wenhe Lin, 2022. "Government Environmental Regulation and Corporate ESG Performance: Evidence from Natural Resource Accountability Audits in China," IJERPH, MDPI, vol. 20(1), pages 1-16, December.
    42. Chen, Mengtao, 2024. "ESG performance and firm misconduct: Evidence from R&D manipulation," Economics Letters, Elsevier, vol. 237(C).
    43. Boubaker, Sabri & Choudhury, Tonmoy & Hasan, Fakhrul & Nguyen, Duc Khuong, 2024. "Firm carbon risk exposure, stock returns, and dividend payment," Journal of Economic Behavior & Organization, Elsevier, vol. 221(C), pages 248-276.
    44. Wang, Hu & Shen, Hong & Li, Shouwei, 2023. "ESG performance and stock price fragility," Finance Research Letters, Elsevier, vol. 56(C).
    45. Huang, Jun & Li, Yun & Han, Feifei, 2024. "Walk well and talk well: Impact of the consistency of ESG performance and disclosure on firms’ stock price crash risk," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1154-1174.
    46. Yavuz GÜL & Ceren ALTUNTAŞ, 2024. "Do ESG Ratings Affect Stock Prices? The Case of Developed and Emerging Stock Markets," Sosyoekonomi Journal, Sosyoekonomi Society, issue 32(60).
    47. Li, Ying & Guo, Xu & Huang, Wei & Ma, Xiaomeng, 2024. "ESG rating and short selling in the corporate bond market," Finance Research Letters, Elsevier, vol. 61(C).
    48. Kerkemeier, Marco & Kruse-Becher, Robinson, 2022. "Join the club! Dynamics of global ESG indices convergence," Finance Research Letters, Elsevier, vol. 49(C).

  14. Wang, Chen & Xiong, Xiong & Shen, Dehua, 2022. "Tail risks, firm characteristics, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).

    Cited by:

    1. Meng, Yongqiang & Shen, Dehua & Xiong, Xiong, 2023. "When stock price crash risk meets fundamentals," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Khasawneh, Maher & McMillan, David G. & Kambouroudis, Dimos, 2024. "Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    3. Eom, Cheoljun & Eom, Yunsung & Park, Jong Won, 2023. "Left-tail momentum and tail properties of return distributions: A case of Korea," International Review of Financial Analysis, Elsevier, vol. 87(C).

  15. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2022. "Extreme sentiment and herding: Evidence from the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 63(C).

    Cited by:

    1. Meng, Yongqiang & Goodell, John W. & Shen, Dehua, 2023. "Information shocks and investor underreaction: Evidence from the Bitcoin market," Finance Research Letters, Elsevier, vol. 56(C).
    2. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    3. Meng, Yongqiang & Shen, Dehua & Xiong, Xiong, 2023. "When stock price crash risk meets fundamentals," Research in International Business and Finance, Elsevier, vol. 65(C).
    4. Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.
    5. Filip, Angela Maria & Pochea, Maria Miruna, 2023. "Intentional and spurious herding behavior: A sentiment driven analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    6. Zhao, Yingxiu & Goodell, John W. & Shen, Dehua, 2024. "Spillover effects according to classification of cryptocurrency," Finance Research Letters, Elsevier, vol. 65(C).
    7. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    8. Li, Xiao & Xing, Yao, 2023. "When stock return synchronicity meets investor sentiment," Finance Research Letters, Elsevier, vol. 53(C).
    9. Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Tiwari, Aviral Kumar & Wali Ullah, G M, 2024. "Asymmetric dynamics between geopolitical conflict sentiment and cryptomarkets," Research in International Business and Finance, Elsevier, vol. 69(C).
    10. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    11. Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo, 2024. "Herding towards carbon neutrality: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 91(C).
    12. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.

  16. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).

    Cited by:

    1. Yilun Zhang & Yuping Song & Ying Peng & Hanchao Wang, 2024. "Volatility forecasting incorporating intraday positive and negative jumps based on deep learning model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2749-2765, November.
    2. Damien KUNJAL, 2023. "The Role of Investor Attention in ETF Liquidity," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(2), pages 45-64.
    3. Wen, Bohui & Yan, Yulin & Hao, Jing & He, Feng, 2023. "Investors’ online searching and green knowledge dissemination," Finance Research Letters, Elsevier, vol. 54(C).
    4. Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
    5. Ghosh, Indranil & Alfaro-Cortés, Esteban & Gámez, Matías & García, Noelia, 2023. "Do travel uncertainty and invasion rhetoric spur Metaverse financial asset? – Gauging the role of media influence," Finance Research Letters, Elsevier, vol. 51(C).
    6. Wang, Yizhi & Wei, Yu & Lucey, Brian M. & Su, Yang, 2023. "Return spillover analysis across central bank digital currency attention and cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    7. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    8. Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.

  17. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).

    Cited by:

    1. Efstathios Polyzos & Ghulame Rubbaniy & Mieszko Mazur, 2024. "Efficient Market Hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency," The Financial Review, Eastern Finance Association, vol. 59(3), pages 807-829, August.
    2. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    3. Ferreira, Joaquim & Morais, Flávio, 2023. "Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index," Finance Research Letters, Elsevier, vol. 56(C).
    4. Bouteska, Ahmed & Hajek, Petr & Abedin, Mohammad Zoynul & Dong, Yizhe, 2023. "Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
    5. Shi, Guiqiang & Goodell, John W. & Shen, Dehua, 2024. "Investor attention and GameFi returns: A transfer entropy analysis," Finance Research Letters, Elsevier, vol. 61(C).
    6. Arun Narayanasamy & Humnath Panta & Rohit Agarwal, 2023. "Relations among Bitcoin Futures, Bitcoin Spot, Investor Attention, and Sentiment," JRFM, MDPI, vol. 16(11), pages 1-24, November.
    7. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    8. Zhang, Luyao & Sun, Yutong & Quan, Yutong & Cao, Jiaxun & Tong, Xin, 2023. "On the Mechanics of NFT Valuation: AI Ethics and Social Media," OSF Preprints qwpdx, Center for Open Science.
    9. Chen, Yunxiao & Bai, Mingliang & Zhang, Yilan & Liu, Jinfu & Yu, Daren, 2023. "Proactively selection of input variables based on information gain factors for deep learning models in short-term solar irradiance forecasting," Energy, Elsevier, vol. 284(C).
    10. rao, amar & Dagar, Vishal & dagher, leila & Shobande, Olatunji, 2024. "Uncertainty and Risk in Cryptocurrency Markets: Evidence of Time-frequency Connectedness," MPRA Paper 120582, University Library of Munich, Germany.
    11. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.

  18. Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.

    Cited by:

    1. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).

  19. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.

    Cited by:

    1. Yongli Li & Tianchen Wang & Baiqing Sun & Chao Liu, 2022. "Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-36, December.
    2. Chen, Zhang-Hangjian & Chu, Wei-Wei & Gao, Xiang & Koedijk, Kees G. & Xu, Yaping, 2024. "Extreme weather, climate risk, and the lead–lag role of carbon," Global Finance Journal, Elsevier, vol. 61(C).
    3. Gang Chu & John W. Goodell & Xiao Li & Yongjie Zhang, 2023. "Understanding short‐term price pressure from index reconstitutions: Evidence from the CSI 300," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2421-2440, June.
    4. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    5. Chen, Fanglin & Zhang, Tianzi & Chen, Zhongfei, 2024. "Assessment of environmental concern for enterprise pollution reduction," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 772-786.
    6. Zhong-Qiang Zhou & Jie Li & Wei Zhang & Xiong Xiong, 2022. "Government intervention model based on behavioral heterogeneity for China’s stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
    7. Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    8. Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    9. Xue Gong & Weiguo Zhang & Weijun Xu & Zhe Li, 2022. "Uncertainty index and stock volatility prediction: evidence from international markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-44, December.
    10. Fu, Tong & Huang, Dasen & Feng, Lingbing & Tang, Xiaoping, 2024. "More is better? The impact of predictor choice on the INE oil futures volatility forecasting," Energy Economics, Elsevier, vol. 134(C).
    11. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
    12. Lin, Boqiang & Wei, Kai, 2024. "Does investor attitude toward carbon neutrality affect stock returns in China?," International Review of Financial Analysis, Elsevier, vol. 93(C).

  20. Jia, Boxiang & Goodell, John W. & Shen, Dehua, 2021. "US partisan conflict and high-yield exchange rates," Finance Research Letters, Elsevier, vol. 40(C).

    Cited by:

    1. Ding, Qian & Huang, Jianbai & Gao, Wang & Zhang, Hongwei, 2022. "Does political risk matter for gold market fluctuations? A structural VAR analysis," Research in International Business and Finance, Elsevier, vol. 60(C).
    2. Grossmann, Axel & Kim, Jintae, 2022. "The impact of U.S. dollar movements and U.S. dollar states on non-perishable commodity prices," Research in International Business and Finance, Elsevier, vol. 61(C).
    3. Chang, Ming-Jen & Matsuki, Takashi, 2022. "Exchange rate forecasting with real-time data: Evidence from Western offshoots," Research in International Business and Finance, Elsevier, vol. 59(C).
    4. Chen, Su & Yin, Lu, 2022. "Why do firms issue U.S. dollar bond abroad? Evidence from Chinese non-financial listed corporations," Research in International Business and Finance, Elsevier, vol. 60(C).
    5. Assaf, Rima & Gupta, Deeksha & Kumar, Rahul, 2023. "The price of war: Effect of the Russia-Ukraine war on the global financial market," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    6. He, Qing & Liu, Junyi & Yu, Jishuang, 2023. "Dancing with dragon: The RMB and developing economies’ currencies," Research in International Business and Finance, Elsevier, vol. 64(C).
    7. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
    8. Demirer, Riza & Yuksel, Asli & Yuksel, Aydin, 2022. "Time-varying risk aversion and currency excess returns," Research in International Business and Finance, Elsevier, vol. 59(C).
    9. Banerjee, Ameet Kumar & Dionisio, Andreia & Sensoy, Ahmet & Goodell, John W., 2024. "Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments," Energy Economics, Elsevier, vol. 136(C).
    10. Bhaskar, Ratikant & Hunjra, Ahmed Imran & Bansal, Shashank & Pandey, Dharen Kumar, 2022. "Central Bank Digital Currencies: Agendas for future research," Research in International Business and Finance, Elsevier, vol. 62(C).

  21. Zhang, Yongjie & Chu, Gang & Shen, Dehua, 2021. "The role of investor attention in predicting stock prices: The long short-term memory networks perspective," Finance Research Letters, Elsevier, vol. 38(C).

    Cited by:

    1. Yilun Zhang & Yuping Song & Ying Peng & Hanchao Wang, 2024. "Volatility forecasting incorporating intraday positive and negative jumps based on deep learning model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2749-2765, November.
    2. Ito, Katsuki & Iima, Hitoshi & Kitamura, Yoshihiro, 2022. "LSTM forecasting foreign exchange rates using limit order book," Finance Research Letters, Elsevier, vol. 47(PA).
    3. Kyungsub Lee, 2023. "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Papers 2304.11883, arXiv.org.
    4. Wenwen Liu & Jinyu Yang & Jingrui Chen & Lei Xu, 2023. "How Social-Network Attention and Sentiment of Investors Affect Commodity Futures Market Returns: New Evidence From China," SAGE Open, , vol. 13(1), pages 21582440231, January.
    5. Oliveira, Alexandre Silva de & Ceretta, Paulo Sergio & Albrecht, Peter, 2023. "Performance comparison of multifractal techniques and artificial neural networks in the construction of investment portfolios," Finance Research Letters, Elsevier, vol. 55(PA).
    6. Zheng, Yan & Wen, Fenghua & Deng, Hanshi & Zeng, Aiqing, 2022. "The relationship between carbon market attention and the EU CET market: Evidence from different market conditions," Finance Research Letters, Elsevier, vol. 50(C).
    7. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    8. Goutte, Stéphane & Le, Hoang-Viet & Liu, Fei & von Mettenheim, Hans-Jörg, 2023. "Deep learning and technical analysis in cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).
    9. Kanzari, Dalel & Nakhli, Mohamed Sahbi & Gaies, Brahim & Sahut, Jean-Michel, 2023. "Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks," Research in International Business and Finance, Elsevier, vol. 65(C).
    10. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).
    11. Lee, Kyungsub, 2023. "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Finance Research Letters, Elsevier, vol. 55(PA).
    12. Liu, Qingfu & Tao, Zhenyi & Tse, Yiuman & Wang, Chuanjie, 2022. "Stock market prediction with deep learning: The case of China," Finance Research Letters, Elsevier, vol. 46(PA).
    13. Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo, 2024. "Herding towards carbon neutrality: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 91(C).
    14. Deng, Chao & Zhou, Xiaoying & Peng, Cheng & Zhu, Huiming, 2022. "Going green: Insight from asymmetric risk spillover between investor attention and pro-environmental investment," Finance Research Letters, Elsevier, vol. 47(PA).
    15. Paweł Jakubowski & Robert Ślepaczuk & Franciszek Windorbski, 2023. "REnsembling ARIMAX Model in Algorithmic Investment Strategies on Commodities Market," Working Papers 2023-20, Faculty of Economic Sciences, University of Warsaw.

  22. Li, Yue & W. Goodell, John & Shen, Dehua, 2021. "Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 113-122.

    Cited by:

    1. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Qadan, Mahmoud & Nisani, Doron & Eichel, Ron, 2022. "Irregularities in forward-looking volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 489-501.
    3. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2022. "Extreme sentiment and herding: Evidence from the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 63(C).
    4. DeLisle, R. Jared & Diavatopoulos, Dean & Fodor, Andy & Kassa, Haimanot, 2022. "Variation in option implied volatility spread and future stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 152-160.
    5. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.
    6. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    7. Bouteska, Ahmed & Hajek, Petr & Abedin, Mohammad Zoynul & Dong, Yizhe, 2023. "Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
    8. Kanzari, Dalel & Nakhli, Mohamed Sahbi & Gaies, Brahim & Sahut, Jean-Michel, 2023. "Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks," Research in International Business and Finance, Elsevier, vol. 65(C).
    9. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment," Working Papers 202247, University of Pretoria, Department of Economics.
    10. Pandey, Dharen Kumar & Kumari, Vineeta & Palma, Alessia & Goodell, John W., 2024. "Are markets in happier countries less affected by tragic events? Evidence from market reaction to the Israel–Hamas conflict," Finance Research Letters, Elsevier, vol. 60(C).

  23. Hu, Yitong & Li, Xiao & Goodell, John W. & Shen, Dehua, 2021. "Investor attention shocks and stock co-movement: Substitution or reinforcement?," International Review of Financial Analysis, Elsevier, vol. 73(C).

    Cited by:

    1. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Astaiza-Gómez, José Gabriel, 2021. "Investors' Information Choice," MPRA Paper 110008, University Library of Munich, Germany.
    3. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    4. Goodell, John W. & Kumar, Satish & Li, Xiao & Pattnaik, Debidutta & Sharma, Anuj, 2022. "Foundations and research clusters in investor attention: Evidence from bibliometric and topic modelling analysis," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 511-529.
    5. Meng, Yongqiang & Li, Xiao & Xiong, Xiong, 2024. "Information shocks and short-term market overreaction: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 93(C).
    6. Prange, Philipp, 2021. "Does online investor attention drive the co-movement of stock-, commodity-, and energy markets? Insights from Google searches," Energy Economics, Elsevier, vol. 99(C).
    7. Corbet, Shaen & Goodell, John W. & Günay, Samet, 2022. "What drives DeFi prices? Investigating the effects of investor attention," Finance Research Letters, Elsevier, vol. 48(C).
    8. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    9. Li, Weiping & Li, Tingyu & Jiang, Dequan & Zhang, Xuezhi, 2024. "Bridging the information gap: How digitalization shapes stock price informativeness," Journal of Financial Stability, Elsevier, vol. 71(C).
    10. Li, Yue & Goodell, John W. & Shen, Dehua, 2021. "Comparing search-engine and social-media attentions in finance research: Evidence from cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 723-746.
    11. Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.
    12. Corbet, Shaen & Goodell, John W., 2022. "The reputational contagion effects of ransomware attacks," Finance Research Letters, Elsevier, vol. 47(PB).
    13. Yousaf, Imran & Goodell, John W., 2023. "Responses of US equity market sectors to the Silicon Valley Bank implosion," Finance Research Letters, Elsevier, vol. 55(PB).
    14. Gao, Haoyu & Wen, Huiyu & Wang, Xingjian, 2022. "Pandemic effect on corporate financial asset holdings: Precautionary or return-chasing?," Research in International Business and Finance, Elsevier, vol. 62(C).
    15. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    16. Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo, 2024. "Herding towards carbon neutrality: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 91(C).
    17. Liang, Chao & Wang, Lu & Duong, Duy, 2024. "More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?," Journal of Economic Behavior & Organization, Elsevier, vol. 218(C), pages 1-19.
    18. Goodell, John W. & Kumar, Satish & Rao, Purnima & Verma, Shubhangi, 2023. "Emotions and stock market anomalies: A systematic review," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    19. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W. & Mahapatra, Biplab, 2024. "Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period," Finance Research Letters, Elsevier, vol. 59(C).
    20. Do, Hung X. & Nguyen, Nhut H. & Nguyen, Quan M.P. & Truong, Cameron, 2023. "Aerospace competition, investor attention, and stock return comovement," Journal of Economic Behavior & Organization, Elsevier, vol. 215(C), pages 40-59.
    21. Su, Fei & Wang, Xinyi, 2021. "Investor co-attention and stock return co-movement: Evidence from China’s A-share stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    22. Cai, Haidong & Jiang, Ying & Liu, Xiaoquan, 2022. "Investor attention, aggregate limit-hits, and stock returns," International Review of Financial Analysis, Elsevier, vol. 83(C).

  24. Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.

    Cited by:

    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Jin, Lifu & Zheng, Bo & Ma, Jiahao & Zhang, Jiu & Xiong, Long & Jiang, Xiongfei & Li, Jiangcheng, 2022. "Empirical study and model simulation of global stock market dynamics during COVID-19," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
    3. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    4. Wang, Zhixuan & Dong, Yanli & Liu, Ailan, 2022. "How does China's stock market react to supply chain disruptions from COVID-19?," International Review of Financial Analysis, Elsevier, vol. 82(C).
    5. Li, Yue & Goodell, John W. & Shen, Dehua, 2023. "Market reaction to climate risk report disclosures: The roles of investor attention and sentiment," Finance Research Letters, Elsevier, vol. 58(PA).
    6. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).

  25. Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.

    Cited by:

    1. Kaiyuan Yang & Xiaoyan Huo & Zhaoyu Sun & Peigong Li & Stavros Sindakis & Saloome Showkat, 2024. "Investigating The Role of Accounting Information Comparability in Mitigating Stock Price Crash Risk: Evidence from China’s Knowledge-Based Economy," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 10022-10056, September.

  26. Li, Yue & Goodell, John W. & Shen, Dehua, 2021. "Comparing search-engine and social-media attentions in finance research: Evidence from cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 723-746.

    Cited by:

    1. Meng, Yongqiang & Goodell, John W. & Shen, Dehua, 2023. "Information shocks and investor underreaction: Evidence from the Bitcoin market," Finance Research Letters, Elsevier, vol. 56(C).
    2. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    3. Chengying He & Yong Li & Tianqi Wang & Salman Ali Shah, 2024. "Is cryptocurrency a hedging tool during economic policy uncertainty? An empirical investigation," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
    4. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2022. "Extreme sentiment and herding: Evidence from the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 63(C).
    5. Dimitrios Anastasiou & Zacharias Bragoudakis & Stelios Giannoulakis, 2020. "Perceived vs actual financial crisis and bank credit standards: is there any indication of self-fulfilling prophecy?," Working Papers 277, Bank of Greece.
    6. Ajithakumari Vijayappan Nair Biju & Ann Susan Thomas, 2023. "Uncertainties and ambivalence in the crypto market: an urgent need for a regional crypto regulation," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
    7. Goodell, John W. & Kumar, Satish & Li, Xiao & Pattnaik, Debidutta & Sharma, Anuj, 2022. "Foundations and research clusters in investor attention: Evidence from bibliometric and topic modelling analysis," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 511-529.
    8. Zhang, Zuochao & Shen, Dehua, 2024. "Internet stock message boards and the price–volume relationship: Registered users vs non-registered users," Finance Research Letters, Elsevier, vol. 61(C).
    9. Hajek, Petr & Hikkerova, Lubica & Sahut, Jean-Michel, 2023. "How well do investor sentiment and ensemble learning predict Bitcoin prices?," Research in International Business and Finance, Elsevier, vol. 64(C).
    10. Wang, Ping & Han, Wei & Huang, Chengcheng & Duong, Duy, 2022. "Forecasting realised volatility from search volume and overnight sentiment: Evidence from China," Research in International Business and Finance, Elsevier, vol. 62(C).
    11. Chu, Gang & Li, Xiao & Zhang, Yongjie, 2022. "Information demand and net selling around earnings announcement," Research in International Business and Finance, Elsevier, vol. 59(C).
    12. Goodell, John W. & Alon, Ilan & Chiaramonte, Laura & Dreassi, Alberto & Paltrinieri, Andrea & Piserà, Stefano, 2023. "Risk substitution in cryptocurrencies: Evidence from BRICS announcements," Emerging Markets Review, Elsevier, vol. 54(C).
    13. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.
    14. Zhang, Jiahang & Zhang, Chi, 2022. "Do cryptocurrency markets react to issuer sentiments? Evidence from Twitter," Research in International Business and Finance, Elsevier, vol. 61(C).
    15. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    16. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
    17. Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.
    18. Bouteska, Ahmed & Hajek, Petr & Abedin, Mohammad Zoynul & Dong, Yizhe, 2023. "Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
    19. Shi, Guiqiang & Goodell, John W. & Shen, Dehua, 2024. "Investor attention and GameFi returns: A transfer entropy analysis," Finance Research Letters, Elsevier, vol. 61(C).
    20. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).
    21. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    22. Toan Luu Duc Huynh, 2023. "When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 639-661, August.
    23. Wu, Chunying & Xiong, Xiong & Gao, Ya & Zhang, Jin, 2022. "Does social media distort price discovery? Evidence from rumor clarifications," Research in International Business and Finance, Elsevier, vol. 62(C).
    24. Corbet, Shaen & Goodell, John W., 2022. "The reputational contagion effects of ransomware attacks," Finance Research Letters, Elsevier, vol. 47(PB).
    25. Gunay, Samet & Altınkeski, Buket Kırcı & Ismail Çevik, Emrah & Goodell, John W., 2023. "Quantifying systemic risk in the cryptocurrency market: A sectoral analysis," Finance Research Letters, Elsevier, vol. 58(PC).
    26. Peng‐Fei Dai & John W. Goodell & Luu Duc Toan Huynh & Zhifeng Liu & Shaen Corbet, 2023. "Understanding the transmission of crash risk between cryptocurrency and equity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 539-573, August.
    27. Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.
    28. Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo, 2024. "Herding towards carbon neutrality: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 91(C).
    29. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
    30. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 307-317.
    31. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W. & Mahapatra, Biplab, 2024. "Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period," Finance Research Letters, Elsevier, vol. 59(C).
    32. Aslanidis, Nektarios & Bariviera, Aurelio F. & Savva, Christos S., 2024. "Do online attention and sentiment affect cryptocurrencies’ correlations?," Research in International Business and Finance, Elsevier, vol. 71(C).
    33. Shen, Dehua & Tong, Zezheng & Goodell, John W., 2024. "Do online message boards convey cryptocurrency-specific information?," International Review of Financial Analysis, Elsevier, vol. 91(C).

  27. Wei Zhang & Yingxiu Zhao & Pengfei Wang & Dehua Shen, 2020. "Investor Sentiment and the Return Rate of P2P Lending Platform," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 97-113, March.

    Cited by:

    1. Yunpeng Su & Jia Li & Baochen Yang & Yunbi An, 2024. "The Impacts of Policy Uncertainty on Asset Prices: Evidence from China’s Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1087-1133, December.
    2. Wang, Chao & Zhang, Yue & Zhang, Weiguo & Gong, Xue, 2021. "Textual sentiment of comments and collapse of P2P platforms: Evidence from China's P2P market," Research in International Business and Finance, Elsevier, vol. 58(C).

  28. Yan, Kai & Zhang, Wei & Shen, Dehua, 2020. "Stylized facts of the carbon emission market in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).

    Cited by:

    1. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.
    2. Razzaq, Asif & Sharif, Arshian & An, Hui & Aloui, Chaker, 2022. "Testing the directional predictability between carbon trading and sectoral stocks in China: New insights using cross-quantilogram and rolling window causality approaches," Technological Forecasting and Social Change, Elsevier, vol. 182(C).
    3. Edward P. K. Tsang & Shuai Ma & V. L. Raju Chinthalapati, 2024. "Nowcasting directional change in high frequency FX markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 31(1), March.
    4. Chen, Li & Wemhoff, Aaron P., 2021. "Predicting embodied carbon emissions from purchased electricity for United States counties," Applied Energy, Elsevier, vol. 292(C).
    5. Muhammad Awais Gulzar & Haroon Asghar & Jinsoo Hwang & Waseem Hassan, 2020. "China’s Pathway towards Solar Energy Utilization: Transition to a Low-Carbon Economy," IJERPH, MDPI, vol. 17(12), pages 1-11, June.

  29. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2020. "Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).

    Cited by:

    1. Tang, Zhenpeng & Lin, Qiaofeng & Cai, Yi & Chen, Kaijie & Liu, Dinggao, 2024. "Harnessing the power of real-time forum opinion: Unveiling its impact on stock market dynamics using intraday high-frequency data in China," International Review of Financial Analysis, Elsevier, vol. 93(C).
    2. Yongqiang Meng & Dehua Shen & Xiong Xiong & Jorgen Vitting Andersen, 2020. "A Socio-Finance Model: The Case of Bitcoin," Documents de travail du Centre d'Economie de la Sorbonne 20031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Kallinterakis, Vasileios & Karaa, Rabaa, 2023. "From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading," International Review of Financial Analysis, Elsevier, vol. 85(C).
    4. Baoqing Gan, 2020. "Does Social Media Sentiment Trump News?," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2020, January-A.
    5. Li, Yan & Li, Weiping, 2021. "Firm-specific investor sentiment for the Chinese stock market," Economic Modelling, Elsevier, vol. 97(C), pages 231-246.
    6. 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.
    7. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    8. Sakariyahu, Rilwan & Johan, Sofia & Lawal, Rodiat & Paterson, Audrey & Chatzivgeri, Eleni, 2023. "Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    9. Chu, Xiaojun & Wan, Xinmin & Qiu, Jianying, 2023. "The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).

  30. Wang, Pengfei & Li, Xiao & Shen, Dehua & Zhang, Wei, 2020. "How does economic policy uncertainty affect the bitcoin market?," Research in International Business and Finance, Elsevier, vol. 53(C).

    Cited by:

    1. Jiang, Yonghong & Wu, Lanxin & Tian, Gengyu & Nie, He, 2021. "Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? – New evidence from quantile coherency analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    2. Nguyen, Minh Hong & Trinh, Vu Quang, 2023. "U.K. economic policy uncertainty and innovation activities: A firm-level analysis," Journal of Economics and Business, Elsevier, vol. 123(C).
    3. Khalid Khan & Jiluo Sun & Sinem Derindere Koseoglu & Ashfaq U. Rehman, 2021. "Revisiting Bitcoin Price Behavior Under Global Economic Uncertainty," SAGE Open, , vol. 11(3), pages 21582440211, August.
    4. Zhang, Hua & Chen, Jinyu & Shao, Liuguo, 2021. "Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19," International Review of Financial Analysis, Elsevier, vol. 77(C).
    5. Bergsli, Lykke Øverland & Lind, Andrea Falk & Molnár, Peter & Polasik, Michał, 2022. "Forecasting volatility of Bitcoin," Research in International Business and Finance, Elsevier, vol. 59(C).
    6. Çepni, Oğuzhan & Gül, Selçuk & Hacıhasanoğlu, Yavuz Selim & Yılmaz, Muhammed Hasan, 2020. "Global uncertainties and portfolio flow dynamics of the BRICS countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    7. Disli, Mustafa & Nagayev, Ruslan & Salim, Kinan & Rizkiah, Siti K. & Aysan, Ahmet F., 2021. "In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types," Research in International Business and Finance, Elsevier, vol. 58(C).
    8. Mirza, Nawazish & Naeem, Muhammad Abubakr & Ha Nguyen, Thi Thu & Arfaoui, Nadia & Oliyide, Johnson A., 2023. "Are sustainable investments interdependent? The international evidence," Economic Modelling, Elsevier, vol. 119(C).
    9. Diniz-Maganini, Natalia & Diniz, Eduardo H. & Rasheed, Abdul A., 2021. "Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison," Research in International Business and Finance, Elsevier, vol. 58(C).
    10. Ma, Chaoqun & Tian, Yonggang & Hsiao, Shisong & Deng, Liurui, 2022. "Monetary policy shocks and Bitcoin prices," Research in International Business and Finance, Elsevier, vol. 62(C).
    11. Jyothi Chittineni, 2022. "A Study on Cryptocurrency Investors Purchase Intentions: Revisiting the Brand Personality Theory," International Journal of Economics and Financial Issues, Econjournals, vol. 12(4), pages 28-33, July.
    12. Wang, Yilei & Cheng, Sheng & Cao, Yan, 2022. "How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries," Resources Policy, Elsevier, vol. 79(C).
    13. Sinda Hadhri, 2021. "Fear of the Coronavirus and Cryptocurrencies' returns," Economics Bulletin, AccessEcon, vol. 41(3), pages 2041-2054.
    14. Hasan, Md. Bokhtiar & Kabir Hassan, M. & Gider, Zeynullah & Tahsin Rafia, Humaira & Rashid, Mamunur, 2023. "Searching hedging instruments against diverse global risks and uncertainties," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    15. Ahsan, Tanveer & Al-GAMRH, Bakr & Mirza, Sultan Sikandar, 2022. "Economic policy uncertainty and sustainable financial growth: Does business strategy matter?," Finance Research Letters, Elsevier, vol. 46(PB).
    16. Chada, Swechha, 2023. "Economic policy uncertainties and institutional ownership in India," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    17. Guo, Xiaochun & Lu, Fengbin & Wei, Yunjie, 2021. "Capture the contagion network of bitcoin – Evidence from pre and mid COVID-19," Research in International Business and Finance, Elsevier, vol. 58(C).
    18. Hou, Deshuai & Chan, Kam C. & Dong, Manru & Yao, Qiuge, 2022. "The impact of economic policy uncertainty on a firm’s green behavior: Evidence from China," Research in International Business and Finance, Elsevier, vol. 59(C).
    19. Mokni, Khaled, 2021. "When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 65-73.
    20. Gholipour, Hassan F. & Tajaddini, Reza & Farzanegan, Mohammad Reza & Yam, Sharon, 2021. "Responses of REITs index and commercial property prices to economic uncertainties: A VAR analysis," Research in International Business and Finance, Elsevier, vol. 58(C).
    21. Simran, & Sharma, Anil Kumar, 2023. "Asymmetric impact of economic policy uncertainty on cryptocurrency market: Evidence from NARDL approach," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    22. Qiu, Leiju & Li, Tianyu & He, Qing & Zhao, Daxuan, 2021. "Policy uncertainty and overseas property purchases: Evidence from China," Research in International Business and Finance, Elsevier, vol. 58(C).
    23. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    24. Mokni, Khaled & Ajmi, Ahdi Noomen & Bouri, Elie & Vo, Xuan Vinh, 2020. "Economic policy uncertainty and the Bitcoin-US stock nexus," Journal of Multinational Financial Management, Elsevier, vol. 57.
    25. Conlon, Thomas & Corbet, Shaen & McGee, Richard J., 2020. "Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 54(C).
    26. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    27. Elsayed, Ahmed H. & Gozgor, Giray & Lau, Chi Keung Marco, 2022. "Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties," International Review of Financial Analysis, Elsevier, vol. 81(C).
    28. Aharon, David Y. & Demir, Ender & Lau, Chi Keung Marco & Zaremba, Adam, 2022. "Twitter-Based uncertainty and cryptocurrency returns," Research in International Business and Finance, Elsevier, vol. 59(C).
    29. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
    30. Bai, Lan & Wei, Yu & Wei, Guiwu & Li, Xiafei & Zhang, Songyun, 2021. "Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective," Finance Research Letters, Elsevier, vol. 40(C).
    31. Hoang, Lai T. & Baur, Dirk G., 2022. "Loaded for bear: Bitcoin private wallets, exchange reserves and prices," Journal of Banking & Finance, Elsevier, vol. 144(C).
    32. Wen, Fenghua & Cao, Jiahui & Liu, Zhen & Wang, Xiong, 2021. "Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets," International Review of Financial Analysis, Elsevier, vol. 76(C).
    33. Serdar Ongan & Ismet Gocer, 2022. "Japan-US bilateral commodity-level trade and trade policy-related uncertainty under the COVID-19 pandemic: the nonlinear ARDL model," Economic Change and Restructuring, Springer, vol. 55(3), pages 1397-1418, August.
    34. Wüstenfeld, Jan & Geldner, Teo, 2022. "Economic uncertainty and national bitcoin trading activity," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    35. Zhang, Hongwei & Demirer, Riza & Huang, Jianbai & Huang, Wanjun & Tahir Suleman, Muhammad, 2021. "Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data," Resources Policy, Elsevier, vol. 72(C).
    36. Ben Nouir, Jihed & Ben Haj Hamida, Hayet, 2023. "How do economic policy uncertainty and geopolitical risk drive Bitcoin volatility?," Research in International Business and Finance, Elsevier, vol. 64(C).
    37. Mokni, Khaled & Youssef, Manel & Ajmi, Ahdi Noomen, 2022. "COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 60(C).
    38. Shuai Wang & Cunyi Yang & Zhenghui Li, 2021. "Spatio-Temporal Evolution Characteristics and Spatial Interaction Spillover Effects of New-Urbanization and Green Land Utilization Efficiency," Land, MDPI, vol. 10(10), pages 1-26, October.
    39. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 307-317.
    40. Ullah, Subhan & Attah-Boakye, Rexford & Adams, Kweku & Zaefarian, Ghasem, 2022. "Assessing the influence of celebrity and government endorsements on bitcoin’s price volatility," Journal of Business Research, Elsevier, vol. 145(C), pages 228-239.
    41. Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    42. Liu, Jiatong, 2023. "Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).
    43. Shi, Yangyan & Feng, Yu & Zhang, Qi & Shuai, Jing & Niu, Jiangxin, 2023. "Does China's new energy vehicles supply chain stock market have risk spillovers? Evidence from raw material price effect on lithium batteries," Energy, Elsevier, vol. 262(PA).
    44. Zhu, Huiming & Chen, Weiyan & Hau, Liya & Chen, Qitong, 2021. "Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: Evidence from rolling window analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).

  31. Xingjian Zheng & Dehua Shen, 2020. "The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 213-230, June.

    Cited by:

    1. Chen, Xin & Chai, Daniel & Zhang, Jin, 2024. "Expected return, volume, and mispricing: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).

  32. Xiong Xiong & Chen Wang & Dehua Shen, 2020. "Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 439-452, September.

    Cited by:

    1. Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.
    2. Nazreen Tabassum Chowdhury & Nurul Shahnaz Mahdzan & Mahfuzur Rahman, 2024. "Beyond Intuition: The Role of Financial Knowledge in Navigating Investments in Emerging Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 14(4), pages 267-281, July.

  33. Dehua Shen & Andrew Urquhart & Pengfei Wang, 2020. "Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks," European Financial Management, European Financial Management Association, vol. 26(5), pages 1294-1323, November.

    Cited by:

    1. Li, Yi & Lucey, Brian & Urquhart, Andrew, 2023. "Can altcoins act as hedges or safe-havens for Bitcoin?," Finance Research Letters, Elsevier, vol. 52(C).
    2. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
    3. Kislay Kumar Jha & Dirk G. Baur, 2020. "Regime-Dependent Good and Bad Volatility of Bitcoin," JRFM, MDPI, vol. 13(12), pages 1-16, December.
    4. Hsu, Shu-Han & Cheng, Po-Keng & Yang, Yiwen, 2024. "Diversification, hedging, and safe-haven characteristics of cryptocurrencies: A structural change approach," International Review of Financial Analysis, Elsevier, vol. 93(C).
    5. Skander Slim & Ibrahim Tabche & Yosra Koubaa & Mohamed Osman & Andreas Karathanasopoulos, 2023. "Forecasting realized volatility of Bitcoin: The informative role of price duration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1909-1929, November.
    6. Soria, Jorge & Moya, Jorge & Mohazab, Amin, 2023. "Optimal mining in proof-of-work blockchain protocols," Finance Research Letters, Elsevier, vol. 53(C).
    7. Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang, 2022. "Forecasting Bitcoin volatility: A new insight from the threshold regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 633-652, April.
    8. Aharon, David Y. & Butt, Hassan Anjum & Jaffri, Ali & Nichols, Brian, 2023. "Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks," International Review of Financial Analysis, Elsevier, vol. 87(C).
    9. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    10. Feng, Lingbing & Qi, Jiajun & Lucey, Brian, 2024. "Enhancing cryptocurrency market volatility forecasting with daily dynamic tuning strategy," International Review of Financial Analysis, Elsevier, vol. 94(C).
    11. Zhang, Chuanhai & Ma, Huan & Liao, Xiaosai, 2023. "Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    12. Hajek, Petr & Hikkerova, Lubica & Sahut, Jean-Michel, 2023. "How well do investor sentiment and ensemble learning predict Bitcoin prices?," Research in International Business and Finance, Elsevier, vol. 64(C).
    13. Conlon, Thomas & Corbet, Shaen & McGee, Richard J., 2021. "Inflation and cryptocurrencies revisited: A time-scale analysis," Economics Letters, Elsevier, vol. 206(C).
    14. Malek, Jiri & Nguyen, Duc Khuong & Sensoy, Ahmet & Tran, Quang Van, 2023. "Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations," Finance Research Letters, Elsevier, vol. 55(PA).
    15. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
    16. Qian, Lihua & Wang, Jiqian & Ma, Feng & Li, Ziyang, 2022. "Bitcoin volatility predictability–The role of jumps and regimes," Finance Research Letters, Elsevier, vol. 47(PB).
    17. Wang, Yijun & Andreeva, Galina & Martin-Barragan, Belen, 2023. "Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants," International Review of Financial Analysis, Elsevier, vol. 90(C).
    18. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    19. Manahov, Viktor & Urquhart, Andrew, 2021. "The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    20. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
    21. Zhang, Chuanhai & Zhang, Zhengjun & Xu, Mengyu & Peng, Zhe, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, Elsevier, vol. 119(C).
    22. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).
    23. Zhao, Yingxiu & Goodell, John W. & Shen, Dehua, 2024. "Spillover effects according to classification of cryptocurrency," Finance Research Letters, Elsevier, vol. 65(C).
    24. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    25. Riahi, Rabeb & Bennajma, Amel & Jahmane, Abderrahmane & Hammami, Helmi, 2024. "Investing in cryptocurrency before and during the COVID-19 crisis: Hedge, diversifier or safe haven?," Research in International Business and Finance, Elsevier, vol. 67(PB).
    26. Alessio Brini & Jimmie Lenz, 2024. "A comparison of cryptocurrency volatility-benchmarking new and mature asset classes," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-38, December.
    27. Wang, Jying-Nan & Vigne, Samuel A. & Liu, Hung-Chun & Hsu, Yuan-Teng, 2024. "Divergent jump characteristics in brown and green cryptocurrencies: The role of energy-related uncertainty," Energy Economics, Elsevier, vol. 138(C).
    28. Xu, Fang & Bouri, Elie & Cepni, Oguzhan, 2022. "Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps," Finance Research Letters, Elsevier, vol. 50(C).
    29. Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
    30. Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
    31. Karim, Muhammad Mahmudul & Ali, Md Hakim & Yarovaya, Larisa & Uddin, Md Hamid & Hammoudeh, Shawkat, 2023. "Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    32. Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.
    33. Jiqian Wang & Feng Ma & Elie Bouri & Yangli Guo, 2023. "Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 970-988, July.
    34. Alessio Brini & Jimmie Lenz, 2024. "A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes," Papers 2404.04962, arXiv.org.
    35. Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021. "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.

  34. Li, Yi & Shen, Dehua & Wang, Pengfei & Zhang, Wei, 2020. "Does intraday time-series momentum exist in Chinese stock index futures market?," Finance Research Letters, Elsevier, vol. 35(C).

    Cited by:

    1. Zhang, Zhehao & Xing, Ruina & Liu, Jiajun & Shao, Yifei, 2023. "Correlation-based investment strategies: A comparison between Chinese and US stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    2. Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Bond intraday momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    3. Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021. "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, vol. 96(C), pages 209-219.
    4. Onishchenko, Olena & Zhao, Jing & Kuruppuarachchi, Duminda & Roberts, Helen, 2021. "Intraday time-series momentum and investor trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    5. Zhang, Wei & Wang, Pengfei & Li, Yi, 2020. "Intraday momentum in Chinese commodity futures markets," Research in International Business and Finance, Elsevier, vol. 54(C).

  35. Hu, Yitong & Li, Xiao & Shen, Dehua, 2020. "Attention allocation and international stock return comovement: Evidence from the Bitcoin market," Research in International Business and Finance, Elsevier, vol. 54(C).

    Cited by:

    1. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    2. Meng, Yongqiang & Shen, Dehua & Xiong, Xiong, 2023. "When stock price crash risk meets fundamentals," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.
    4. Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.
    5. Jiang, Shangrong & Li, Yuze & Lu, Quanying & Wang, Shouyang & Wei, Yunjie, 2022. "Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    6. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    7. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
    8. Guo, Xiaochun & Lu, Fengbin & Wei, Yunjie, 2021. "Capture the contagion network of bitcoin – Evidence from pre and mid COVID-19," Research in International Business and Finance, Elsevier, vol. 58(C).
    9. Hu, Yitong & Shen, Dehua & Urquhart, Andrew, 2023. "Attention allocation and cryptocurrency return co-movement: Evidence from the stock market," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1173-1185.
    10. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    11. Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo, 2024. "Herding towards carbon neutrality: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 91(C).
    12. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
    13. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).

  36. Shen, Dehua & Urquhart, Andrew & Wang, Pengfei, 2020. "A three-factor pricing model for cryptocurrencies," Finance Research Letters, Elsevier, vol. 34(C).

    Cited by:

    1. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
    2. Milan Fičura, 2023. "Impact of size and volume on cryptocurrency momentum and reversal," FFA Working Papers 5.003, Prague University of Economics and Business, revised 05 Apr 2023.
    3. Urquhart, Andrew, 2022. "Under the hood of the Ethereum blockchain," Finance Research Letters, Elsevier, vol. 47(PA).
    4. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    5. Victoria Dobrynskaya, 2020. "Is Downside Risk Priced In Cryptocurrency Market?," HSE Working papers WP BRP 79/FE/2020, National Research University Higher School of Economics.
    6. Shahzad, Syed Jawad Hussain & Bouri, Elie & Ahmad, Tanveer & Naeem, Muhammad Abubakr, 2022. "Extreme tail network analysis of cryptocurrencies and trading strategies," Finance Research Letters, Elsevier, vol. 44(C).
    7. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam, 2024. "Cryptocurrency anomalies and economic constraints," International Review of Financial Analysis, Elsevier, vol. 94(C).
    8. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    9. Chen, Rongxin & Lepori, Gabriele M. & Tai, Chung-Ching & Sung, Ming-Chien, 2022. "Can salience theory explain investor behaviour? Real-world evidence from the cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 84(C).
    10. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    11. Victoria Dobrynskaya & Mikhail Dubrovskiy, 2022. "Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships," HSE Working papers WP BRP 86/FE/2022, National Research University Higher School of Economics.
    12. Elise Alfieri & Yann Ferrat, 2022. "Une meilleure rémunération des mineurs : un effet positif sur la performance financière des cryptomonnaies," Innovations, De Boeck Université, vol. 0(2), pages 53-77.
    13. Aharon, David Y. & Demir, Ender & Lau, Chi Keung Marco & Zaremba, Adam, 2022. "Twitter-Based uncertainty and cryptocurrency returns," Research in International Business and Finance, Elsevier, vol. 59(C).
    14. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    15. Grobys, Klaus, 2023. "A Fractal and Comparative View of the Memory of Bitcoin and S&P 500 Returns," Research in International Business and Finance, Elsevier, vol. 66(C).
    16. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
    17. Long, Huaigang & Demir, Ender & Będowska-Sójka, Barbara & Zaremba, Adam & Shahzad, Syed Jawad Hussain, 2022. "Is geopolitical risk priced in the cross-section of cryptocurrency returns?," Finance Research Letters, Elsevier, vol. 49(C).
    18. Jia, Boxiang & Goodell, John W. & Shen, Dehua, 2022. "Momentum or reversal: Which is the appropriate third factor for cryptocurrencies?," Finance Research Letters, Elsevier, vol. 45(C).
    19. Zhao, Yingxiu & Goodell, John W. & Shen, Dehua, 2024. "Spillover effects according to classification of cryptocurrency," Finance Research Letters, Elsevier, vol. 65(C).
    20. Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak, 2023. "Heterogeneous tail generalized common factor modeling," Digital Finance, Springer, vol. 5(2), pages 389-420, June.
    21. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    22. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    23. Leong, Minhao & Kwok, Simon, 2023. "The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns," Journal of Empirical Finance, Elsevier, vol. 74(C).
    24. Sakkas, Athanasios & Urquhart, Andrew, 2024. "Blockchain factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    25. Łęt Blanka & Sobański Konrad & Świder Wojciech & Włosik Katarzyna, 2022. "Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(4), pages 351-370, December.
    26. Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
    27. Chen, Rongxin & Lepori, Gabriele M. & Tai, Chung-Ching & Sung, Ming-Chien, 2022. "Explaining cryptocurrency returns: A prospect theory perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    28. Tomé Lima & Helder Sebastião, 2023. "Native Market Factors for Pricing Cryptocurrencies," Notas Económicas, Faculty of Economics, University of Coimbra, issue 57, pages 71-85, December.
    29. Grobys, Klaus, 2021. "What do we know about the second moment of financial markets?," International Review of Financial Analysis, Elsevier, vol. 78(C).
    30. Josué Thélissaint, 2024. "Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-14, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
    31. Frankovic, Jozo & Liu, Bin & Suardi, Sandy, 2022. "On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia," Global Finance Journal, Elsevier, vol. 54(C).
    32. Élise Alfieri & Yann Ferrat, 2022. "The larger compensation for miners, the higher positive effect on the financial performance of cryptocurrencies [Une meilleure rémunération des mineurs : un effet positif sur la performance financi," Post-Print hal-03670074, HAL.
    33. Huynh, Nhan & Phan, Hoa, 2023. "Emotions in the crypto market: Do photos really speak?," Finance Research Letters, Elsevier, vol. 55(PB).

  37. Xiong, Xiong & Meng, Yongqiang & Joseph, Nathan Lael & Shen, Dehua, 2020. "Stock mispricing, hard-to-value stocks and the influence of internet stock message boards," International Review of Financial Analysis, Elsevier, vol. 72(C).

    Cited by:

    1. Dmitry G. Rodionov & Polina A. Pashinina & Evgenii A. Konnikov & Olga A. Konnikova, 2022. "Information Environment Quantifiers as Investment Analysis Basis," Economies, MDPI, vol. 10(10), pages 1-16, September.
    2. Li, Wencong & Yang, Xingquan & Yin, Xingqiang, 2022. "Non-state shareholders entering of state-owned enterprises and equity mispricing: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 84(C).
    3. Wang, Xinjie & Xiang, Zhiqiang & Xu, Weike & Yuan, Peixuan, 2022. "The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum," Economics Letters, Elsevier, vol. 216(C).
    4. Meng, Yongqiang & Li, Xiao & Xiong, Xiong, 2024. "Information shocks and short-term market overreaction: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 93(C).
    5. Huang, Xiuqi & Meng, Yongqiang, 2024. "Information shock, market reaction, and stock message board information diffusion," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 180-192.
    6. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).

  38. Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.

    Cited by:

    1. Dante Miller & Jong-Min Kim, 2021. "Univariate and Multivariate Machine Learning Forecasting Models on the Price Returns of Cryptocurrencies," JRFM, MDPI, vol. 14(10), pages 1-10, October.
    2. Flavius Valentin Jakubowicz & Ionela Munteanu & Marioara Mirea, 2023. "Developments in Cryptocurrency Transactions and Implications for Audit and Accounting Activities," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 951-957, August.
    3. Li, Yi & Lucey, Brian & Urquhart, Andrew, 2023. "Can altcoins act as hedges or safe-havens for Bitcoin?," Finance Research Letters, Elsevier, vol. 52(C).
    4. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
    5. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Role of hedging on crypto returns predictability: A new habit-based explanation," Finance Research Letters, Elsevier, vol. 55(PB).
    6. Bo, Congcong & Shen, Dehua, 2023. "The road less travelled: GameFi as a hedge or a safe haven for international indices," Finance Research Letters, Elsevier, vol. 57(C).
    7. Papadamou, Stephanos & Kyriazis, Nikolaos A. & Tzeremes, Panayiotis G., 2021. "Non-linear causal linkages of EPU and gold with major cryptocurrencies during bull and bear markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    8. Özer, Mustafa & Frömmel, Michael & Kamişli, Melik & Vuković, Darko B., 2024. "Do bitcoin shocks truly Cointegrate with financial and commodity markets?," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    9. Naveed, Muhammad & Ali, Shoaib & Gubareva, Mariya & Omri, Anis, 2024. "When giants fall: Tracing the ripple effects of Silicon Valley Bank (SVB) collapse on global financial markets," Research in International Business and Finance, Elsevier, vol. 67(PA).
    10. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    11. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Marcin Wk{a}torek, 2023. "What is mature and what is still emerging in the cryptocurrency market?," Papers 2305.05751, arXiv.org.
    12. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
    13. Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
    14. Hampl, Filip & Vágnerová Linnertová, Dagmar & Horváth, Matúš, 2024. "Crypto havens during war times? Evidence from the Russian invasion of Ukraine," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    15. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    16. Dimitrios Koutmos & Timothy King & Constantin Zopounidis, 2021. "Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 815-837, December.
    17. Assaf, Ata & Demir, Ender & Mokni, Khaled, 2024. "Exploring connectedness among cryptocurrency, technology communication, and FinTech through dynamic and fractal analysis," Finance Research Letters, Elsevier, vol. 63(C).
    18. Inzamam Ul Haq & Apichit Maneengam & Supat Chupradit & Wanich Suksatan & Chunhui Huo, 2021. "Economic Policy Uncertainty and Cryptocurrency Market as a Risk Management Avenue: A Systematic Review," Risks, MDPI, vol. 9(9), pages 1-24, September.
    19. Raifu, Isiaka Akande & Ogbonna, Ahamuefula E, 2021. "Safe-haven Effectiveness of Cryptocurrency: Evidence from Stock Markets of COVID-19 worst-hit African Countries," MPRA Paper 113139, University Library of Munich, Germany.
    20. Ren, Boru & Lucey, Brian, 2022. "A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 109(C).
    21. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
    22. Iqbal, Najaf & Fareed, Zeeshan & Wan, Guangcai & Shahzad, Farrukh, 2021. "Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 73(C).
    23. Yousaf, Imran & Pham, Linh & Goodell, John W., 2023. "The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    24. Mokni, Khaled, 2021. "When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 65-73.
    25. Wang, Gang-Jin & Ma, Xin-yu & Wu, Hao-yu, 2020. "Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?," Research in International Business and Finance, Elsevier, vol. 54(C).
    26. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2023. "Cryptocurrencies Are Becoming Part of the World Global Financial Market," Papers 2303.00495, arXiv.org.
    27. Kołodziejczyk, Hanna, 2023. "Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    28. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Hedging the extreme risk of cryptocurrency," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    29. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
    30. Susovon Jana & Tarak Nath Sahu, 2024. "Identifying Cryptocurrencies as Diversifying Assets and Safe Haven in the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 925-944, December.
    31. Zvonko Merkaš & Vlasta Roška, 2021. "The Impact of Unsystematic Factors on Bitcoin Value," JRFM, MDPI, vol. 14(11), pages 1-17, November.
    32. Conlon, Thomas & Corbet, Shaen & McGee, Richard J., 2020. "Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 54(C).
    33. Choi, Sangyup & Shin, Junhyeok, 2022. "Bitcoin: An inflation hedge but not a safe haven," Finance Research Letters, Elsevier, vol. 46(PB).
    34. Yousaf, Imran & Yarovaya, Larisa, 2022. "Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication," Global Finance Journal, Elsevier, vol. 53(C).
    35. Susovon Jana & Tarak N. Sahu, 2023. "Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 52(3), November.
    36. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran, 2023. "Dynamic spillovers and portfolio risk management between defi and metals: Empirical evidence from the Covid-19," Resources Policy, Elsevier, vol. 83(C).
    37. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Pawe{l} O'swik{e}cimka & Tomasz Stanisz & Marcin Wk{a}torek, 2020. "Complexity in economic and social systems: cryptocurrency market at around COVID-19," Papers 2009.10030, arXiv.org.
    38. Fakhfekh, Mohamed & Bejaoui, Azza & Bariviera, Aurelio F. & Jeribi, Ahmed, 2024. "Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    39. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
    40. Mensi, Walid & El Khoury, Rim & Ali, Syed Riaz Mahmood & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile dependencies and connectedness between the gold and cryptocurrency markets: Effects of the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 65(C).
    41. Khalfaoui, Rabeh & Hammoudeh, Shawkat & Rehman, Mohd Ziaur, 2023. "Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network," Emerging Markets Review, Elsevier, vol. 54(C).
    42. David Y. Aharon & Zaghum Umar & Xuan Vinh Vo, 2021. "Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
    43. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
    44. Bouteska, Ahmed & Hassan, M. Kabir & Rashid, Mamunur & Bilgin, Mehmet Hüseyin, 2024. "The dynamics of bonds, commodities and bitcoin based on NARDL approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 58-70.
    45. Goodell, John W. & Corbet, Shaen & Yadav, Miklesh Prasad & Kumar, Satish & Sharma, Sudhi & Malik, Kunjana, 2022. "Time and frequency connectedness of green equity indices: Uncovering a socially important link to Bitcoin," International Review of Financial Analysis, Elsevier, vol. 84(C).
    46. Just, Małgorzata & Echaust, Krzysztof, 2024. "Cryptocurrencies against stock market risk: New insights into hedging effectiveness," Research in International Business and Finance, Elsevier, vol. 67(PA).
    47. Zhao, Jinsha & Miao, Jia, 2023. "Is Bitcoin used to evade financial sanction?," Finance Research Letters, Elsevier, vol. 55(PB).
    48. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    49. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2021. "Bitcoin versus high-performance technology stocks in diversifying against global stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    50. Riahi, Rabeb & Bennajma, Amel & Jahmane, Abderrahmane & Hammami, Helmi, 2024. "Investing in cryptocurrency before and during the COVID-19 crisis: Hedge, diversifier or safe haven?," Research in International Business and Finance, Elsevier, vol. 67(PB).
    51. Shahzad, Syed Jawad Hussain & Balli, Faruk & Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad, 2022. "Do conventional currencies hedge cryptocurrencies?," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 223-228.
    52. Rasoul Amirzadeh & Asef Nazari & Dhananjay Thiruvady & Mong Shan Ee, 2023. "Modelling Determinants of Cryptocurrency Prices: A Bayesian Network Approach," Papers 2303.16148, arXiv.org.
    53. Lee, Seungho & Meslmani, Nabil El & Switzer, Lorne N., 2020. "Pricing Efficiency and Arbitrage in the Bitcoin Spot and Futures Markets," Research in International Business and Finance, Elsevier, vol. 53(C).
    54. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    55. Ihsan Erdem Kayral & Ahmed Jeribi & Sahar Loukil, 2023. "Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?," JRFM, MDPI, vol. 16(4), pages 1-22, April.
    56. Luisanna Cocco & Roberto Tonelli & Michele Marchesi, 2022. "Bitcoin as a Safe Haven during COVID-19 Disease," Future Internet, MDPI, vol. 14(4), pages 1-24, March.
    57. Assaf, Ata & Mokni, Khaled & Youssef, Manel, 2023. "COVID-19 and information flow between cryptocurrencies, and conventional financial assets," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 73-81.
    58. Jiang, Yonghong & Lie, Jiayi & Wang, Jieru & Mu, Jinqi, 2021. "Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective," Economic Modelling, Elsevier, vol. 95(C), pages 21-34.
    59. Moussa, Wajdi & Mgadmi, Nidhal & Béjaoui, Azza & Regaieg, Rym, 2021. "Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model," Resources Policy, Elsevier, vol. 74(C).
    60. Jaros{l}aw Kwapie'n & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2021. "Cryptocurrency Market Consolidation in 2020--2021," Papers 2112.06552, arXiv.org.
    61. Li, Zijian & Meng, Qiaoyu, 2022. "Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    62. Baur, Dirk G. & Hoang, Lai T. & Hossain, Md Zakir, 2022. "Is Bitcoin a hedge? How extreme volatility can destroy the hedge property," Finance Research Letters, Elsevier, vol. 47(PB).
    63. Wang, Pengfei & Li, Xiao & Shen, Dehua & Zhang, Wei, 2020. "How does economic policy uncertainty affect the bitcoin market?," Research in International Business and Finance, Elsevier, vol. 53(C).
    64. Charfeddine, Lanouar & Benlagha, Noureddine & Khediri, Karim Ben, 2022. "An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens," Research in International Business and Finance, Elsevier, vol. 62(C).
    65. Mokni, Khaled & Youssef, Manel & Ajmi, Ahdi Noomen, 2022. "COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 60(C).
    66. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).
    67. Waqas Hanif & Hee-Un Ko & Linh Pham & Sang Hoon Kang, 2023. "Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
    68. Kumar, Anoop S & Padakandla, Steven Raj, 2023. "Do NFTs act as a good hedge and safe haven against Cryptocurrency fluctuations?," Finance Research Letters, Elsevier, vol. 56(C).
    69. Cheng, Hui-Pei & Yen, Kuang-Chieh, 2020. "The relationship between the economic policy uncertainty and the cryptocurrency market," Finance Research Letters, Elsevier, vol. 35(C).
    70. Wei Zhang & Pengfei Wang, 2020. "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 445-468, July.
    71. Maurice Omane-Adjepong & Imhotep Paul Alagidede, 2020. "Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 537-585, December.
    72. Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
    73. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
    74. Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Shao, Xue-Feng, 2021. "Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US?," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
    75. Fang, Sheng & Cao, Guangxi & Egan, Paul, 2023. "Forecasting and backtesting systemic risk in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).
    76. Long, Shaobo & Pei, Hongxia & Tian, Hao & Lang, Kun, 2021. "Can both Bitcoin and gold serve as safe-haven assets? — A comparative analysis based on the NARDL model," International Review of Financial Analysis, Elsevier, vol. 78(C).

  39. Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.

    Cited by:

    1. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    2. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    3. Zhang, Zuochao & Shen, Dehua, 2024. "Internet stock message boards and the price–volume relationship: Registered users vs non-registered users," Finance Research Letters, Elsevier, vol. 61(C).
    4. Kais Tissaoui & Taha Zaghdoudi & Khaled issa Alfreahat, 2020. "Can intraday public information explain Bitcoin Returns and Volatility? A PGARCH-Based Approach," Economics Bulletin, AccessEcon, vol. 40(3), pages 2085-2092.
    5. Ao Shu & Feiyang Cheng & Jianlei Han & Zini Liang & Zheyao Pan, 2023. "Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5183-5210, December.
    6. Beata Szetela & Grzegorz Mentel & Yuriy Bilan & Urszula Mentel, 2021. "The relationship between trend and volume on the bitcoin market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 25-42, March.
    7. Clement Moyo & Andrew Phiri, 2023. "Re-Examining Bitcoin’s Price–Volume Relationship: A Time-Varying Spectral Analysis," JRFM, MDPI, vol. 16(7), pages 1-16, July.
    8. Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.
    9. Min Liu & Wei‐Chong Choo & Chi‐Chuan Lee & Chien‐Chiang Lee, 2023. "Trading volume and realized volatility forecasting: Evidence from the China stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 76-100, January.

  40. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2019. "An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China," Finance Research Letters, Elsevier, vol. 31(C).

    Cited by:

    1. Kulikova, Maria V. & Taylor, David R. & Kulikov, Gennady Yu., 2024. "Evolving efficiency of the BRICS markets," Economic Systems, Elsevier, vol. 48(1).
    2. Guo, Shuxin & Yuan, Yue & Ma, Feng, 2022. "Cross-sectional seasonalities and seasonal reversals: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 82(C).
    3. Ferreira, Joaquim & Morais, Flávio, 2023. "Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index," Finance Research Letters, Elsevier, vol. 56(C).
    4. Potrykus Marcin & Augustynowicz Urszula, 2024. "The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 60(3), pages 157-172.
    5. Tianbao Zhou & Xinghao Li & Peng Wang, 2021. "Statistics and Practice on the Trend’s Reversal and Turning Points of Chinese Stock Indices Based on Gann’s Time Theory and Solar Terms Effect," Mathematics, MDPI, vol. 9(15), pages 1-24, July.
    6. Thiago Christiano Silva & Benjamin Miranda Tabak & Idamar Magalhães Ferreira, 2019. "Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies," Complexity, Hindawi, vol. 2019, pages 1-14, December.
    7. Ali Fayyaz Munir & Mohd Edil Abd. Sukor & Shahrin Saaid Shaharuddin, 2022. "Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia," SAGE Open, , vol. 12(1), pages 21582440211, January.

  41. Li, Yi & Shen, Dehua & Wang, Pengfei & Zhang, Wei, 2019. "Do analyst recommendations matter for rival companies?," International Review of Financial Analysis, Elsevier, vol. 65(C).

    Cited by:

    1. Umar, Muhammad & Mirza, Nawazish & Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2022. "ESG scores and target price accuracy: Evidence from sell-side recommendations in BRICS," International Review of Financial Analysis, Elsevier, vol. 84(C).
    2. Li, Yi & Zhang, Wei & Wang, Pengfei, 2021. "Working online or offline: Which is more effective?," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Jae Hoon Min, 2020. "Information Spillover and Demand Shock Effect of the IPOs on the Stock Price of the Competitors: Evidence From the Korean Stock Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 1-12, October.
    4. Hou, Jianlei & Zhao, Shangmei & Yang, Haijun, 2020. "Individual analysts, stock return synchronicity and information efficiency," International Review of Financial Analysis, Elsevier, vol. 71(C).

  42. Shen, Dehua & Urquhart, Andrew & Wang, Pengfei, 2019. "Does twitter predict Bitcoin?," Economics Letters, Elsevier, vol. 174(C), pages 118-122.

    Cited by:

    1. Meng, Yongqiang & Goodell, John W. & Shen, Dehua, 2023. "Information shocks and investor underreaction: Evidence from the Bitcoin market," Finance Research Letters, Elsevier, vol. 56(C).
    2. Fan, Rui & Talavera, Oleksandr & Tran, Vu, 2023. "Information flows and the law of one price," International Review of Financial Analysis, Elsevier, vol. 85(C).
    3. Marmora, Paul, 2022. "Does monetary policy fuel bitcoin demand? Event-study evidence from emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    4. ?ikolaos A. Kyriazis, 2021. "Impacts of Stock Indices, Oil, and Twitter Sentiment on Major Cryptocurrencies during the COVID-19 First Wave," Bulletin of Applied Economics, Risk Market Journals, vol. 8(2), pages 133-146.
    5. Νikolaos A. Kyriazis & Paraskevi Prassa, 2019. "Which Cryptocurrencies Are Mostly Traded in Distressed Times?," JRFM, MDPI, vol. 12(3), pages 1-12, August.
    6. Kamyr Gomes Souza & Flavio Barboza & Daniel Vitor Tartari Garruti, 2024. "A Discourse Analysis of Tweets and Its Implications for Cryptocurrency Prices and Trade Volumes," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2355-2383, October.
    7. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    8. Pyun, Chaehyun, 2024. "The Wikipedia effect: Analyzing investor attention for strategic investment decisions," Economics Letters, Elsevier, vol. 241(C).
    9. Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
    10. Cano-Marin, Enrique & Mora-Cantallops, Marçal & Sánchez-Alonso, Salvador, 2023. "Twitter as a predictive system: A systematic literature review," Journal of Business Research, Elsevier, vol. 157(C).
    11. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
    12. Salisu, Afees A. & Ogbonna, Ahamuefula E., 2022. "The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect," Global Finance Journal, Elsevier, vol. 54(C).
    13. Yang Hu & Les Oxley & Chunlin Lang, 2019. "Can Economic Policy Uncertainty, Volume, Transaction Activity and Twitter Predict Bitcoin? Evidence from Time-Varying Granger Causality Tests," Working Papers in Economics 19/12, University of Waikato.
    14. Raphael A. Auer & David Tercero-Lucas, 2021. "Distrust or Speculation? The Socioeconomic Drivers of U.S. Cryptocurrency Investments," CESifo Working Paper Series 9287, CESifo.
    15. Mohamed Albaity & Ray Saadaoui Mallek & Hasan Mustafa, 2022. "Bank Stock Return Reactions to the COVID-19 Pandemic: The Role of Investor Sentiment in MENA Countries," Risks, MDPI, vol. 10(2), pages 1-15, February.
    16. Muhammad Ateeq ur REHMAN & Furman ALI & Shang XIE, 2022. "Impact of Foreign Investment News on the Return, Cost of Equity and Cash Flow Activities," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 112-127, December.
    17. Nektarios Aslanidis & Aurelio F. Bariviera & 'Oscar G. L'opez, 2021. "The link between Bitcoin and Google Trends attention," Papers 2106.07104, arXiv.org.
    18. Yongqiang Meng & Dehua Shen & Xiong Xiong & Jorgen Vitting Andersen, 2020. "A Socio-Finance Model: The Case of Bitcoin," Documents de travail du Centre d'Economie de la Sorbonne 20031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    19. Panpan Zhu & Xing Zhang & You Wu & Hao Zheng & Yinpeng Zhang, 2021. "Investor attention and cryptocurrency: Evidence from the Bitcoin market," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-28, February.
    20. Moser, Stefanie & Brauneis, Alexander, 2023. "Should you listen to crypto YouTubers?," Finance Research Letters, Elsevier, vol. 54(C).
    21. Al Guindy, Mohamed, 2021. "Cryptocurrency price volatility and investor attention," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 556-570.
    22. Gronwald, Marc, 2019. "Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 86-92.
    23. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    24. Zeitun, Rami & Rehman, Mobeen Ur & Ahmad, Nasir & Vo, Xuan Vinh, 2023. "The impact of Twitter-based sentiment on US sectoral returns," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    25. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    26. Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
    27. Massimo Guidolin & Manuela Pedio, 2020. "Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit," BAFFI CAREFIN Working Papers 20145, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    28. Andrew Phiri, 2022. "Can wavelets produce a clearer picture of weak-form market efficiency in Bitcoin?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 373-386, September.
    29. Clément Landormy, 2024. "An inquiry of Bitcoin price formation: Evidence from Linear and Nonlinear ARDL Frameworks, 2017-2018," Working Papers of BETA 2024-31, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    30. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    31. Fayssal Jamhamed & Franck Martin & Fabien Rondeau & Josué Thélissaint & Stéphane Tufféry, 2024. "Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-13, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
    32. Fang Wang & Marko Gacesa, 2024. "Semi-strong Efficient Market of Bitcoin and Twitter: an Analysis of Semantic Vector Spaces of Extracted Keywords and Light Gradient Boosting Machine Models," Papers 2409.15988, arXiv.org.
    33. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2022. "Extreme sentiment and herding: Evidence from the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 63(C).
    34. M. Eren Akbiyik & Mert Erkul & Killian Kaempf & Vaiva Vasiliauskaite & Nino Antulov-Fantulin, 2021. "Ask "Who", Not "What": Bitcoin Volatility Forecasting with Twitter Data," Papers 2110.14317, arXiv.org, revised Dec 2022.
    35. Neto, David, 2021. "Are Google searches making the Bitcoin market run amok? A tail event analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    36. Alexander Guzmán & Christian Pinto-Gutiérrez & María-Andrea Trujillo, 2021. "Trading Cryptocurrencies as a Pandemic Pastime: COVID-19 Lockdowns and Bitcoin Volume," Mathematics, MDPI, vol. 9(15), pages 1-15, July.
    37. Sabah, Nasim, 2020. "Cryptocurrency accepting venues, investor attention, and volatility," Finance Research Letters, Elsevier, vol. 36(C).
    38. Goodell, John W. & Kumar, Satish & Li, Xiao & Pattnaik, Debidutta & Sharma, Anuj, 2022. "Foundations and research clusters in investor attention: Evidence from bibliometric and topic modelling analysis," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 511-529.
    39. Tan, Xilong & Tao, Yubo, 2023. "Trend-based forecast of cryptocurrency returns," Economic Modelling, Elsevier, vol. 124(C).
    40. Clark, Ephraim & Lahiani, Amine & Mefteh-Wali, Salma, 2023. "Cryptocurrency return predictability: What is the role of the environment?," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    41. Lahmiri, Salim & Bekiros, Stelios, 2020. "Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    42. Lin, Zih-Ying, 2021. "Investor attention and cryptocurrency performance," Finance Research Letters, Elsevier, vol. 40(C).
    43. Aloosh, Arash & Ouzan, Samuel & Shahzad, Syed Jawad Hussain, 2022. "Bubbles across Meme Stocks and Cryptocurrencies," Finance Research Letters, Elsevier, vol. 49(C).
    44. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
    45. Evangelos Vasileiou, 2021. "Explaining stock markets' performance during the COVID‐19 crisis: Could Google searches be a significant behavioral indicator?," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(3), pages 173-181, July.
    46. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Post-Print halshs-04250269, HAL.
    47. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    48. Naeem, Muhammad Abubakr & Farid, Saqib & Faruk, Balli & Shahzad, Syed Jawad Hussain, 2020. "Can happiness predict future volatility in stock markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    49. Zhang, Dingxuan & Sun, Yuying & Duan, Hongbo & Hong, Yongmiao & Wang, Shouyang, 2023. "Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin," International Review of Financial Analysis, Elsevier, vol. 88(C).
    50. Lee, Jangyoun & Oh, Taehee, 2022. "The Kimchi premium and bitcoin-cashing outlets," Finance Research Letters, Elsevier, vol. 50(C).
    51. N. L. Balasudarsun & Bikramaditya Ghosh & Sathish Mahendran, 2022. "Impact of Negative Tweets on Diverse Assets during Stressful Events: An Investigation through Time-Varying Connectedness," JRFM, MDPI, vol. 15(6), pages 1-12, June.
    52. Emna Mnif & Anis Jarboui & M. Kabir Hassan & Khaireddine Mouakhar, 2020. "Big data tools for Islamic financial analysis," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(1), pages 10-21, January.
    53. Dominique Guégan & Thomas Renault, 2021. "Does investor sentiment on social media provide robust information for Bitcoin returns predictability?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03205154, HAL.
    54. Tomas Pečiulis & Nisar Ahmad & Angeliki N. Menegaki & Aqsa Bibi, 2024. "Forecasting of cryptocurrencies: Mapping trends, influential sources, and research themes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1880-1901, September.
    55. Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan, 2021. "Net Buying Pressure and the Information in Bitcoin Option Trades," Papers 2109.02776, arXiv.org, revised Mar 2022.
    56. Aysan, Ahmet Faruk & Polat, Ali Yavuz & Tekin, Hasan & Tunali, Ahmet Semih, 2021. "Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak," MPRA Paper 110013, University Library of Munich, Germany.
    57. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    58. Ibikunle, Gbenga & McGroarty, Frank & Rzayev, Khaladdin, 2020. "More heat than light: Investor attention and bitcoin price discovery," International Review of Financial Analysis, Elsevier, vol. 69(C).
    59. Goodell, John W. & Alon, Ilan & Chiaramonte, Laura & Dreassi, Alberto & Paltrinieri, Andrea & Piserà, Stefano, 2023. "Risk substitution in cryptocurrencies: Evidence from BRICS announcements," Emerging Markets Review, Elsevier, vol. 54(C).
    60. Wang, Gang-Jin & Ma, Xin-yu & Wu, Hao-yu, 2020. "Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?," Research in International Business and Finance, Elsevier, vol. 54(C).
    61. Yang, Jen-Wei & Chiu, Shih-Yung & Yen, Kuang-Chieh, 2023. "Does the realized distribution-based measure dominate particular moments? Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 51(C).
    62. A. V. Biju & Aparna Merin Mathew & P. P. Nithi Krishna & M. P. Akhil, 2022. "Is the future of bitcoin safe? A triangulation approach in the reality of BTC market through a sentiments analysis," Digital Finance, Springer, vol. 4(4), pages 275-290, December.
    63. Hattori, Takahiro & Ishida, Ryo, 2021. "Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    64. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    65. David Neto, 2023. "Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications," Empirical Economics, Springer, vol. 65(2), pages 949-971, August.
    66. Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2024. "A U-shaped relationship between the crypto fear-greed index and the price synchronicity of cryptocurrencies," Finance Research Letters, Elsevier, vol. 59(C).
    67. Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
    68. Manahov, Viktor & Urquhart, Andrew, 2021. "The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    69. Suardi, Sandy & Rasel, Atiqur Rahman & Liu, Bin, 2022. "On the predictive power of tweet sentiments and attention on bitcoin," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 289-301.
    70. Ardia, David & Bluteau, Keven, 2024. "Twitter and cryptocurrency pump-and-dumps," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    71. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.
    72. Coskun, Esra Alp & Lau, Chi Keung Marco & Kahyaoglu, Hakan, 2020. "Uncertainty and herding behavior: evidence from cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 54(C).
    73. Bennett, Donyetta & Mekelburg, Erik & Strauss, Jack & Williams, T.H., 2024. "Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?," Global Finance Journal, Elsevier, vol. 60(C).
    74. Oncu, Erdem, 2021. "Investigation of Dogecoin Price Movements: A GSADF Analysis," MPRA Paper 111212, University Library of Munich, Germany.
    75. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    76. Ante, Lennart, 2023. "How Elon Musk's Twitter activity moves cryptocurrency markets," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
    77. Andr'es Garc'ia-Medina & Toan Luu Duc Huynh3, 2021. "What drives bitcoin? An approach from continuous local transfer entropy and deep learning classification models," Papers 2109.01214, arXiv.org.
    78. Aharon, David Y. & Demir, Ender & Lau, Chi Keung Marco & Zaremba, Adam, 2022. "Twitter-Based uncertainty and cryptocurrency returns," Research in International Business and Finance, Elsevier, vol. 59(C).
    79. Ozdamar, Melisa & Sensoy, Ahmet & Akdeniz, Levent, 2022. "Retail vs institutional investor attention in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    80. Dehua Shen & Andrew Urquhart & Pengfei Wang, 2020. "Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks," European Financial Management, European Financial Management Association, vol. 26(5), pages 1294-1323, November.
    81. Wu, Wanshan & Tiwari, Aviral Kumar & Gozgor, Giray & Leping, Huang, 2021. "Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures," Research in International Business and Finance, Elsevier, vol. 58(C).
    82. Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.
    83. Shen, Shulin & Xia, Le & Shuai, Yulin & Gao, Da, 2022. "Measuring news media sentiment using big data for Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    84. Hadhri, Sinda, 2023. "Do cryptocurrencies feel the music?," International Review of Financial Analysis, Elsevier, vol. 89(C).
    85. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    86. Li, Yue & Goodell, John W. & Shen, Dehua, 2021. "Comparing search-engine and social-media attentions in finance research: Evidence from cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 723-746.
    87. Yae, James & Tian, George Zhe, 2022. "Out-of-sample forecasting of cryptocurrency returns: A comprehensive comparison of predictors and algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    88. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    89. Bouteska, Ahmed & Hajek, Petr & Abedin, Mohammad Zoynul & Dong, Yizhe, 2023. "Effect of twitter investor engagement on cryptocurrencies during the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
    90. Scharnowski, Stefan, 2021. "Understanding Bitcoin liquidity," Finance Research Letters, Elsevier, vol. 38(C).
    91. Hu, Yitong & Shen, Dehua & Urquhart, Andrew, 2023. "Attention allocation and cryptocurrency return co-movement: Evidence from the stock market," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1173-1185.
    92. Shi, Guiqiang & Goodell, John W. & Shen, Dehua, 2024. "Investor attention and GameFi returns: A transfer entropy analysis," Finance Research Letters, Elsevier, vol. 61(C).
    93. Diaz-Balteiro, L. & Alfranca, O. & Voces, R. & Soliño, M., 2023. "Using google search patterns to explain the demand for wild edible mushrooms," Forest Policy and Economics, Elsevier, vol. 152(C).
    94. Platanakis, Emmanouil & Urquhart, Andrew, 2020. "Should investors include Bitcoin in their portfolios? A portfolio theory approach," The British Accounting Review, Elsevier, vol. 52(4).
    95. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).
    96. Hoang, Lai T. & Baur, Dirk G., 2022. "Loaded for bear: Bitcoin private wallets, exchange reserves and prices," Journal of Banking & Finance, Elsevier, vol. 144(C).
    97. Wang, Fang & Gacesa, Marko, 2023. "Semi-strong efficient market of Bitcoin and Twitter: An analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models," International Review of Financial Analysis, Elsevier, vol. 88(C).
    98. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
    99. Bouteska, Ahmed & Mefteh-Wali, Salma & Dang, Trung, 2022. "Predictive power of investor sentiment for Bitcoin returns: Evidence from COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 184(C).
    100. Jia, Boxiang & Goodell, John W. & Shen, Dehua, 2022. "Momentum or reversal: Which is the appropriate third factor for cryptocurrencies?," Finance Research Letters, Elsevier, vol. 45(C).
    101. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).
    102. Li, Sufang & Xu, Qiufan & Lv, Yixue & Yuan, Di, 2022. "Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis," Resources Policy, Elsevier, vol. 78(C).
    103. Mokni, Khaled & Bouteska, Ahmed & Nakhli, Mohamed Sahbi, 2022. "Investor sentiment and Bitcoin relationship: A quantile-based analysis," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    104. Tea Livaic & Ana Perisic, 2019. "What can Google Tell us about Bitcoin Trading Volume in Croatia? Evidence from the Online Marketplace Localbitcoins," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 17(4), pages 707-715.
    105. Xinyu Huang & Weihao Han & David Newton & Emmanouil Platanakis & Dimitrios Stafylas & Charles Sutcliffe, 2023. "The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19," The European Journal of Finance, Taylor & Francis Journals, vol. 29(7), pages 800-825, May.
    106. Shen, Dehua & Urquhart, Andrew & Wang, Pengfei, 2020. "A three-factor pricing model for cryptocurrencies," Finance Research Letters, Elsevier, vol. 34(C).
    107. Yang, Boyu & Sun, Yuying & Wang, Shouyang, 2020. "A novel two-stage approach for cryptocurrency analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
    108. Ahmet Faruk Aysan & Jonathan Batten & Giray Gozgor & Rabeh Khalfaoui & Zhamal Nanaeva, 2023. "Twitter matters for metaverse stocks amid economic uncertainty," Post-Print hal-04316403, HAL.
    109. Toan Luu Duc Huynh, 2023. "When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 639-661, August.
    110. Huynh, Toan Luu Duc, 2021. "Does Bitcoin React to Trump’s Tweets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    111. Shahzad, Syed Jawad Hussain & Anas, Muhammad & Bouri, Elie, 2022. "Price explosiveness in cryptocurrencies and Elon Musk's tweets," Finance Research Letters, Elsevier, vol. 47(PB).
    112. Kalyvas, Antonios & Papakyriakou, Panayiotis & Sakkas, Athanasios & Urquhart, Andrew, 2020. "What drives Bitcoin’s price crash risk?," Economics Letters, Elsevier, vol. 191(C).
    113. Bennett, Donyetta & Mekelburg, Erik & Williams, T.H., 2023. "BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing," Research in International Business and Finance, Elsevier, vol. 65(C).
    114. Zribi, Wissal & Boufateh, Talel & Guesmi, Khaled, 2023. "Climate uncertainty effects on bitcoin ecological footprint through cryptocurrency environmental attention," Finance Research Letters, Elsevier, vol. 58(PD).
    115. Urquhart, Andrew & Zhang, Hanxiong, 2019. "Is Bitcoin a hedge or safe haven for currencies? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 49-57.
    116. Koch, Sophia & Dimpfl, Thomas, 2023. "Attention and retail investor herding in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 51(C).
    117. Aysu Ahmadova & Taghi Guliyev & Khatai Aliyev, 2024. "The Relationship between Bitcoin and Nasdaq, U.S. Dollar Index and Commodities," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 281-289, January.
    118. Petkova, Ralitsa, 2023. "Extrapolative beliefs about Bitcoin returns," Finance Research Letters, Elsevier, vol. 56(C).
    119. ORĂȘTEAN Ramona & MĂRGINEAN Silvia Cristina & SAVA Raluca, 2019. "Bitcoin In The Scientific Literature – A Bibliometric Study," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 14(3), pages 160-174, December.
    120. Gozgor, Giray & Tiwari, Aviral Kumar & Demir, Ender & Akron, Sagi, 2019. "The relationship between Bitcoin returns and trade policy uncertainty," Finance Research Letters, Elsevier, vol. 29(C), pages 75-82.
    121. Naeem, Muhammad Abubakr & Mbarki, Imen & Shahzad, Syed Jawad Hussain, 2021. "Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 496-514.
    122. Wang, Pengfei & Li, Xiao & Shen, Dehua & Zhang, Wei, 2020. "How does economic policy uncertainty affect the bitcoin market?," Research in International Business and Finance, Elsevier, vol. 53(C).
    123. Mokni, Khaled & Youssef, Manel & Ajmi, Ahdi Noomen, 2022. "COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 60(C).
    124. Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.
    125. Aslanidis, Nektarios & Bariviera, Aurelio F. & López, Óscar G., 2022. "The link between cryptocurrencies and Google Trends attention," Finance Research Letters, Elsevier, vol. 47(PA).
    126. Katsiampa, Paraskevi & Moutsianas, Konstantinos & Urquhart, Andrew, 2019. "Information demand and cryptocurrency market activity," Economics Letters, Elsevier, vol. 185(C).
    127. Choi, Hyungeun, 2021. "Investor attention and bitcoin liquidity: Evidence from bitcoin tweets," Finance Research Letters, Elsevier, vol. 39(C).
    128. Dias, Ishanka K. & Fernando, J.M. Ruwani & Fernando, P. Narada D., 2022. "Does investor sentiment predict bitcoin return and volatility? A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    129. Bhambhwani, Siddharth M. & Huang, Allen H., 2024. "Auditing decentralized finance," The British Accounting Review, Elsevier, vol. 56(2).
    130. Rubbaniy, Ghulame & Tee, Kienpin & Iren, Perihan & Abdennadher, Sonia, 2022. "Investors’ mood and herd investing: A quantile-on-quantile regression explanation from crypto market," Finance Research Letters, Elsevier, vol. 47(PA).
    131. Jia, Zhenzhen & Tiwari, Sunil & Zhou, Jianhua & Farooq, Muhammad Umar & Fareed, Zeeshan, 2023. "Asymmetric nexus between Bitcoin, gold resources and stock market returns: Novel findings from quantile estimates," Resources Policy, Elsevier, vol. 81(C).
    132. Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    133. Ahmed H. Elsayed & Giray Gozgor & Chi Keung Marco Lau, 2022. "Causality and dynamic spillovers among cryptocurrencies and currency markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2026-2040, April.
    134. Wang, Yizhi, 2022. "Volatility spillovers across NFTs news attention and financial markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
    135. Mironeanu Alexandra & Irimia Beatrice & Săndulescu Valentina & Teodoroiu Casiana, 2021. "The impact of Tesla’s bitcoin investment and its plans to accept it as payment method on the evolution of bitcoin," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 15(1), pages 58-74, December.
    136. Pradipta Kumar Sahoo & Dinabandhu Sethi, 2024. "Market efficiency of the cryptocurrencies: Some new evidence based on price–volume relationship," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1569-1580, April.
    137. Wei Zhang & Pengfei Wang, 2020. "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 445-468, July.
    138. Frankovic, Jozo & Liu, Bin & Suardi, Sandy, 2022. "On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia," Global Finance Journal, Elsevier, vol. 54(C).
    139. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W. & Mahapatra, Biplab, 2024. "Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period," Finance Research Letters, Elsevier, vol. 59(C).
    140. Dorien Herremans & Kah Wee Low, 2022. "Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models," Papers 2211.08281, arXiv.org.
    141. Wang, Yizhi & Lucey, Brian M. & Vigne, Samuel A. & Yarovaya, Larisa, 2022. "The Effects of Central Bank Digital Currencies News on Financial Markets," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    142. Aslanidis, Nektarios & Bariviera, Aurelio F. & Savva, Christos S., 2024. "Do online attention and sentiment affect cryptocurrencies’ correlations?," Research in International Business and Finance, Elsevier, vol. 71(C).
    143. Shen, Dehua & Tong, Zezheng & Goodell, John W., 2024. "Do online message boards convey cryptocurrency-specific information?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    144. Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
    145. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    146. Florentina c{S}oiman & Guillaume Dumas & Sonia Jimenez-Garces, 2022. "The return of (I)DeFiX," Papers 2204.00251, arXiv.org.

  43. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.

    Cited by:

    1. Wang, Yan & Wang, Yue & Li, Ming-Xia, 2019. "Regional characteristics of sports industry profitability: Evidence from China’s province level data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 946-955.
    2. Byström, Hans, 2020. "Happiness and Gold Prices," Working Papers 2020:1, Lund University, Department of Economics.
    3. Steyn, Dimitri H. W. & Greyling, Talita & Rossouw, Stephanie & Mwamba, John M., 2020. "Sentiment, emotions and stock market predictability in developed and emerging markets," GLO Discussion Paper Series 502, Global Labor Organization (GLO).
    4. Chen, Wen-Yi & Chen, Mei-Ping, 2022. "Twitter’s daily happiness sentiment, economic policy uncertainty, and stock index fluctuations," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    5. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    6. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
    7. Swamy, Vighneswara & Lagesh, M.A., 2023. "Does happy Twitter forecast gold price?," Resources Policy, Elsevier, vol. 81(C).
    8. Naeem, Muhammad Abubakr & Farid, Saqib & Faruk, Balli & Shahzad, Syed Jawad Hussain, 2020. "Can happiness predict future volatility in stock markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    9. Rahul Goel & Lucas Javier Ford & Maksym Obrizan & Rajesh Sharma, 2020. "COVID-19 and the stock market: evidence from Twitter," Papers 2011.08717, arXiv.org.
    10. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Happiness sentiments and the prediction of cross-border country exchange-traded fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    11. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 50-53.
    12. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    13. Li, Xiao & Xing, Yao, 2023. "When stock return synchronicity meets investor sentiment," Finance Research Letters, Elsevier, vol. 53(C).
    14. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    15. Xiong Xiong & Chen Wang & Dehua Shen, 2020. "Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 439-452, September.
    16. Qadan, Mahmoud & Aharon, David Y. & Cohen, Gil, 2020. "Everybody likes shopping, including the US capital market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    17. Cai, Yi & Tang, Zhenpeng & Chen, Ying, 2024. "Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    18. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    19. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    20. Dai, Zhifeng & Wang, Fei, 2019. "Sparse and robust mean–variance portfolio optimization problems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1371-1378.
    21. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    22. Iqbal, Javid & Saeed, Abubakr, 2023. "Managerial sentiments, non-performing loans, and banks financial performance: A causal mediation approach," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).

  44. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.

    Cited by:

    1. Peng Yue & Qing Cai & Wanfeng Yan & Wei-Xing Zhou, 2020. "Information flow networks of Chinese stock market sectors," Papers 2004.08759, arXiv.org.
    2. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.
    3. Peng Yue & Yaodong Fan & Jonathan A. Batten & Wei-Xing Zhou, 2020. "Information transfer between stock market sectors: A comparison between the USA and China," Papers 2004.07612, arXiv.org.
    4. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    5. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    6. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    7. Whelsy Boungou & Francis Osei-Tutu & Amara Zongo & Alhonita Yatié, 2022. "The Ukraine-Russia war and systemic financial stress," Post-Print hal-04745826, HAL.
    8. Wang, Gaoshan & Yu, Guangjin & Shen, Xiaohong, 2021. "The effect of online environmental news on green industry stocks: The mediating role of investor sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    9. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    10. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    11. Alhonita Yatie, 2022. "Failure of Gold, Bitcoin and Ethereum as safe havens during the Ukraine-Russia war," Working Papers hal-03625196, HAL.
    12. Yang Liu & Qingguo Zeng & Joaquín Ordieres Meré & Huanrui Yang, 2019. "Anticipating Stock Market of the Renowned Companies: A Knowledge Graph Approach," Complexity, Hindawi, vol. 2019, pages 1-15, August.
    13. Whelsy Boungou & Francis Osei-Tutu & Alhonita Yatié & Amara Zongo, 2022. "The Ukraine-Russia war and systemic financial stress," Economics Bulletin, AccessEcon, vol. 42(3), pages 1203-1220.
    14. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    15. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).
    16. Whelsy Boungou & Alhonita Yatié, 2024. "Uncertainty, stock and commodity prices during the Ukraine-Russia war ," Post-Print hal-04746052, HAL.
    17. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.
    18. Iqbal, Javid & Saeed, Abubakr, 2023. "Managerial sentiments, non-performing loans, and banks financial performance: A causal mediation approach," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).
    19. Ke Ma & Long Guo & Wangheng Liu, 2018. "Investigation of the Spatial Clustering Properties of Seismic Time Series: A Comparative Study from Shallow to Intermediate-Depth Earthquakes," Complexity, Hindawi, vol. 2018, pages 1-10, November.

  45. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.

    Cited by:

    1. Li, Jingjing & Tang, Ling & Wang, Shouyang, 2020. "Forecasting crude oil price with multilingual search engine data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    2. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    3. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    4. Telli, Şahin & Chen, Hongzhuan & Zhao, Xufeng, 2022. "Detecting multifractality and exposing distributions of local fluctuations: Detrended fluctuation analysis with descriptive statistics pooling," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    5. Ajithakumari Vijayappan Nair Biju & Ann Susan Thomas, 2023. "Uncertainties and ambivalence in the crypto market: an urgent need for a regional crypto regulation," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
    6. Chen, Hong & Zhu, Li & Jia, GuoZhu, 2020. "MF-DCCA between molecular properties and aqueous solubility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    7. Emmanuel Sirimal Silva & Hossein Hassani & Dag Øivind Madsen & Liz Gee, 2019. "Googling Fashion: Forecasting Fashion Consumer Behaviour Using Google Trends," Social Sciences, MDPI, vol. 8(4), pages 1-23, April.
    8. Knut Lehre Seip & Yunus Yilmaz & Michael Schröder, 2019. "Comparing Sentiment- and Behavioral-Based Leading Indexes for Industrial Production: When Does Each Fail?," Economies, MDPI, vol. 7(4), pages 1-18, October.
    9. Li, Yue & Goodell, John W. & Shen, Dehua, 2021. "Comparing search-engine and social-media attentions in finance research: Evidence from cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 723-746.
    10. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    11. Schadner, Wolfgang, 2022. "U.S. Politics from a multifractal perspective," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    12. Shi, Yong & Tang, Ye-ran & Long, Wen, 2019. "Sentiment contagion analysis of interacting investors: Evidence from China’s stock forum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 246-259.
    13. Yingxiu Zhao & Wei Zhang & Xiangyu Kong, 2019. "Dynamic Cross-Correlations between Participants’ Attentions to P2P Lending and Offline Loan in the Private Lending Market," Complexity, Hindawi, vol. 2019, pages 1-8, December.
    14. Naeem, Muhammad Abubakr & Mbarki, Imen & Shahzad, Syed Jawad Hussain, 2021. "Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 496-514.
    15. Iqbal, Javid & Saeed, Abubakr, 2023. "Managerial sentiments, non-performing loans, and banks financial performance: A causal mediation approach," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).

  46. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.

    Cited by:

    1. Li, Jingjing & Tang, Ling & Wang, Shouyang, 2020. "Forecasting crude oil price with multilingual search engine data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    2. Xun Zhang & Fengbin Lu & Rui Tao & Shouyang Wang, 2021. "The time-varying causal relationship between the Bitcoin market and internet attention," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
    3. Fathin Faizah Said & Raja Solan Somasuntharam & Mohd Ridzwan Yaakub & Tamat Sarmidi, 2023. "Impact of Google searches and social media on digital assets’ volatility," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-17, December.
    4. Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin, 2019. "Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    5. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    6. Telli, Şahin & Chen, Hongzhuan & Zhao, Xufeng, 2022. "Detecting multifractality and exposing distributions of local fluctuations: Detrended fluctuation analysis with descriptive statistics pooling," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    7. Lahmiri, Salim & Bekiros, Stelios, 2020. "Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    8. Bleher, Johannes & Dimpfl, Thomas, 2022. "Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption," Econometrics and Statistics, Elsevier, vol. 24(C), pages 1-26.
    9. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    10. Burcu Kapar & Jose Olmo, 2021. "Analysis of Bitcoin prices using market and sentiment variables," The World Economy, Wiley Blackwell, vol. 44(1), pages 45-63, January.
    11. Esam Mahdi & Ameena Al-Abdulla, 2022. "Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis," Econometrics, MDPI, vol. 10(2), pages 1-14, June.
    12. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    13. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    14. Alessandra Cretarola & Gianna Figà-Talamanca, 2021. "Detecting bubbles in Bitcoin price dynamics via market exuberance," Annals of Operations Research, Springer, vol. 299(1), pages 459-479, April.
    15. Yae, James & Tian, George Zhe, 2022. "Out-of-sample forecasting of cryptocurrency returns: A comprehensive comparison of predictors and algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    16. Shi, Guiqiang & Goodell, John W. & Shen, Dehua, 2024. "Investor attention and GameFi returns: A transfer entropy analysis," Finance Research Letters, Elsevier, vol. 61(C).
    17. Schadner, Wolfgang, 2022. "U.S. Politics from a multifractal perspective," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
    18. Chen, Wei & Xu, Huilin & Jia, Lifen & Gao, Ying, 2021. "Machine learning model for Bitcoin exchange rate prediction using economic and technology determinants," International Journal of Forecasting, Elsevier, vol. 37(1), pages 28-43.
    19. Tong, Zezheng & Goodell, John W. & Shen, Dehua, 2022. "Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology," Finance Research Letters, Elsevier, vol. 50(C).
    20. Piccoli, Pedro & de Castro, Jessica, 2021. "Attention-return relation in the gold market and market states," Resources Policy, Elsevier, vol. 74(C).
    21. Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    22. Bleher, Johannes & Dimpfl, Thomas, 2019. "Today I got a million, tomorrow, I don't know: On the predictability of cryptocurrencies by means of Google search volume," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 147-159.
    23. Nikolaos A. Kyriazis, 2021. "Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 845-861, December.
    24. Geuder, Julian & Kinateder, Harald & Wagner, Niklas F., 2019. "Cryptocurrencies as financial bubbles: The case of Bitcoin," Finance Research Letters, Elsevier, vol. 31(C).

  47. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.

    Cited by:

    1. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    2. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.
    3. Mazumder, Sharif & Saha, Pritam, 2021. "COVID-19: Fear of pandemic and short-term IPO performance," Finance Research Letters, Elsevier, vol. 43(C).
    4. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    5. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    6. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).
    7. Zhao, Yi & Wang, Nan & Zhang, Luyang & Sun, Baiqing & Yang, Yuchen, 2022. "The greater the investor attention, the better the post-IPO performance? A view of pre-IPO and post-IPO investor attention," Research in International Business and Finance, Elsevier, vol. 63(C).
    8. Wei Zhang & Pengfei Wang, 2020. "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 445-468, July.

  48. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.

    Cited by:

    1. Senarathne Chamil W. & Šoja Tijana, 2019. "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(3), pages 35-45, September.
    2. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.
    3. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    4. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    5. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    6. Chou, Ke-Hsin & Day, Min-Yuh & Chiu, Chien-Liang, 2023. "Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 365-385.
    7. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, vol. 77(C), pages 93-104.
    8. Zhang, Zuochao & Shen, Dehua, 2024. "Internet stock message boards and the price–volume relationship: Registered users vs non-registered users," Finance Research Letters, Elsevier, vol. 61(C).
    9. Xiong, Xiong & Meng, Yongqiang & Joseph, Nathan Lael & Shen, Dehua, 2020. "Stock mispricing, hard-to-value stocks and the influence of internet stock message boards," International Review of Financial Analysis, Elsevier, vol. 72(C).
    10. Ahadzie, Richard Mawulawoe & Jeyasreedharan, Nagaratnam, 2020. "Trading volume and realized higher-order moments in the Australian stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    11. Saswat Patra & Malay Bhattacharyya, 2021. "Does volume really matter? A risk management perspective using cross‐country evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 118-135, January.
    12. Senarathne, Chamil W., . "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(01).
    13. Kao, Yu-Sheng & Day, Min-Yuh & Chou, Ke-Hsin, 2024. "A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    14. Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
    15. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.
    16. Cai, Mei-Ling & Chen, Zhang-HangJian & Li, Sai-Ping & Xiong, Xiong & Zhang, Wei & Yang, Ming-Yuan & Ren, Fei, 2022. "New volatility evolution model after extreme events," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
    17. Prajwal Eachempati & Praveen Ranjan Srivastava, 2021. "Accounting for unadjusted news sentiment for asset pricing," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 13(3), pages 383-422, May.
    18. Kais Tissaoui & Taha Zaghdoudi & Khaled issa Alfreahat, 2020. "Can intraday public information explain Bitcoin Returns and Volatility? A PGARCH-Based Approach," Economics Bulletin, AccessEcon, vol. 40(3), pages 2085-2092.
    19. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    20. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    21. Li, Xuelian & Dong, Liang & Kot, Hung Wan & Liu, Ming, 2024. "Regulatory investigations, media coverage, and audit opinions," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 54(C).
    22. Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
    23. Gupta, Kartick & Banerjee, Rajabrata, 2019. "Does OPEC news sentiment influence stock returns of energy firms in the United States?," Energy Economics, Elsevier, vol. 77(C), pages 34-45.
    24. Xu, Liao & Gao, Han & Shi, Yukun & Zhao, Yang, 2020. "The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 400-408.
    25. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    26. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).
    27. Clements, A.E. & Liao, Y., 2020. "Firm-specific information and systemic risk," Economic Modelling, Elsevier, vol. 90(C), pages 480-493.
    28. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.

  49. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 50-53.

    Cited by:

    1. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Working Papers 202009, University of Pretoria, Department of Economics.
    2. Anwer, Zaheer & Khan, Muhammad Arif & Hassan, M. Kabir & Singh, Manjeet Kaur Harnek, 2024. "Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms," Research in International Business and Finance, Elsevier, vol. 71(C).
    3. Chen, Wen-Yi & Chen, Mei-Ping, 2022. "Twitter’s daily happiness sentiment, economic policy uncertainty, and stock index fluctuations," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Abakah, Emmanuel Joel Aikins & Adeabah, David & Tiwari, Aviral Kumar & Abdullah, Mohammad, 2023. "Effect of Russia–Ukraine war sentiment on blockchain and FinTech stocks," International Review of Financial Analysis, Elsevier, vol. 90(C).
    5. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "A Note on Investor Happiness and the Predictability of Realized Volatility of Gold," Working Papers 202004, University of Pretoria, Department of Economics.
    6. Swamy, Vighneswara & Lagesh, M.A., 2023. "Does happy Twitter forecast gold price?," Resources Policy, Elsevier, vol. 81(C).
    7. Kumar, Satish & Rao, Sandeep & Goyal, Kirti & Goyal, Nisha, 2022. "Journal of Behavioral and Experimental Finance: A bibliometric overview," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
    8. Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Yousaf, Imran & Kumar Tiwari, Aviral & Li, Yanshuang, 2024. "Economic sanctions sentiment and global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    9. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Happiness sentiments and the prediction of cross-border country exchange-traded fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    10. Bouri, Elie & Demirer, Riza & Gabauer, David & Gupta, Rangan, 2022. "Financial market connectedness: The role of investors’ happiness," Finance Research Letters, Elsevier, vol. 44(C).
    11. Yılmaz, Emrah Sıtkı & Ozpolat, Aslı & Destek, Mehmet Akif, 2022. "Do Twitter Sentiments Really Effective on Energy Stocks? Evidence from Intercompany Dependency," MPRA Paper 114155, University Library of Munich, Germany.
    12. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    13. Li, Yue & W. Goodell, John & Shen, Dehua, 2021. "Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 113-122.
    14. Zhang, Tonghui & Yuan, Ying & Wu, Xi, 2020. "Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo," Finance Research Letters, Elsevier, vol. 32(C).
    15. Wei, Kai & Zhang, Zuopeng Justin & Lin, Boqiang, 2024. "Does news propaganda really affect residents’ electricity rebound effect: New evidence of non-price information," Energy, Elsevier, vol. 300(C).
    16. Ung, Sze Nie & Gebka, Bartosz & Anderson, Robert D.J., 2023. "Is sentiment the solution to the risk–return puzzle? A (cautionary) note," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    17. Li, Xiao, 2020. "When financial literacy meets textual analysis: A conceptual review," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    18. Chien-Chiang Lee & Mei-Ping Chen & Yi-Ting Peng, 2021. "Tourism development and happiness: International evidence," Tourism Economics, , vol. 27(5), pages 1101-1136, August.
    19. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    20. Pandey, Dharen Kumar & Kumari, Vineeta & Palma, Alessia & Goodell, John W., 2024. "Are markets in happier countries less affected by tragic events? Evidence from market reaction to the Israel–Hamas conflict," Finance Research Letters, Elsevier, vol. 60(C).
    21. Dias, Ishanka K. & Fernando, J.M. Ruwani & Fernando, P. Narada D., 2022. "Does investor sentiment predict bitcoin return and volatility? A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    22. Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020. "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers 202022, University of Pretoria, Department of Economics.
    23. Philip S. Morrison & Stephanié Rossouw & Talita Greyling, 2022. "The impact of exogenous shocks on national wellbeing. New Zealanders’ reaction to COVID-19," Applied Research in Quality of Life, Springer;International Society for Quality-of-Life Studies, vol. 17(3), pages 1787-1812, June.
    24. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.

  50. Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market," Complexity, Hindawi, vol. 2018, pages 1-20, July.

    Cited by:

    1. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
    2. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    3. Lahmiri, Salim & Bekiros, Stelios, 2020. "Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    4. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    5. Charutha, S. & Gopal Krishna, M. & Manimaran, P., 2020. "Multifractal analysis of Indian public sector enterprises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    6. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
    7. Chen, Wei & Xu, Huilin & Jia, Lifen & Gao, Ying, 2021. "Machine learning model for Bitcoin exchange rate prediction using economic and technology determinants," International Journal of Forecasting, Elsevier, vol. 37(1), pages 28-43.
    8. Federico D'Amario & Milos Ciganovic, 2022. "Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach," Papers 2210.00883, arXiv.org.
    9. Yingxiu Zhao & Wei Zhang & Xiangyu Kong, 2019. "Dynamic Cross-Correlations between Participants’ Attentions to P2P Lending and Offline Loan in the Private Lending Market," Complexity, Hindawi, vol. 2019, pages 1-8, December.
    10. Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).

  51. Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.

    Cited by:

    1. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko & Muchtadi-Alamsyah, Intan & Arbi, Lukman, 2022. "Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk," Resources Policy, Elsevier, vol. 79(C).
    3. Parthajit Kayal & G. Balasubramanian, 2021. "Excess Volatility in Bitcoin: Extreme Value Volatility Estimation," IIM Kozhikode Society & Management Review, , vol. 10(2), pages 222-231, July.
    4. Bouteska, Ahmed & Abedin, Mohammad Zoynul & Hajek, Petr & Yuan, Kunpeng, 2024. "Cryptocurrency price forecasting – A comparative analysis of ensemble learning and deep learning methods," International Review of Financial Analysis, Elsevier, vol. 92(C).
    5. Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020. "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper 106150, University Library of Munich, Germany.
    6. Nedved, Martin & Kristoufek, Ladislav, 2023. "Safe havens for Bitcoin," Finance Research Letters, Elsevier, vol. 51(C).
    7. Matthias Schnaubelt & Jonas Rende & Christopher Krauss, 2019. "Testing Stylized Facts of Bitcoin Limit Order Books," JRFM, MDPI, vol. 12(1), pages 1-30, February.
    8. Theo Berger & Jana Koubová, 2024. "Forecasting Bitcoin returns: Econometric time series analysis vs. machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2904-2916, November.
    9. Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Härdle, 2021. "Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies," The European Journal of Finance, Taylor & Francis Journals, vol. 27(1-2), pages 8-30, January.
    10. Borgards, Oliver & Czudaj, Robert L., 2021. "Features of overreactions in the cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 31-48.
    11. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: Investigating the Crypto-market," Papers 2203.10777, arXiv.org.
    12. Chowdhury, Reaz & Rahman, M. Arifur & Rahman, M. Sohel & Mahdy, M.R.C., 2020. "An approach to predict and forecast the price of constituents and index of cryptocurrency using machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    13. Theophilos Papadimitriou & Periklis Gogas & Athanasios Fotios Athanasiou, 2022. "Forecasting Bitcoin Spikes: A GARCH-SVM Approach," Forecasting, MDPI, vol. 4(4), pages 1-15, September.
    14. Andrew Phiri, 2022. "Can wavelets produce a clearer picture of weak-form market efficiency in Bitcoin?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 373-386, September.
    15. Vincenzo Candila, 2021. "Multivariate Analysis of Cryptocurrencies," Econometrics, MDPI, vol. 9(3), pages 1-17, July.
    16. Delson Chikobvu & Thabani Ndlovu, 2023. "The Generalised Extreme Value Distribution Approach to Comparing the Riskiness of BitCoin/US Dollar and South African Rand/US Dollar Returns," JRFM, MDPI, vol. 16(4), pages 1-16, April.
    17. Chu, Jeffrey & Zhang, Yuanyuan & Chan, Stephen, 2019. "The adaptive market hypothesis in the high frequency cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 221-231.
    18. Yan, Kai & Zhang, Wei & Shen, Dehua, 2020. "Stylized facts of the carbon emission market in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    19. Lahmiri, Salim & Bekiros, Stelios, 2019. "Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 334-341.
    20. Arthur A. B. Pessa & Matjaz Perc & Haroldo V. Ribeiro, 2023. "Age and market capitalization drive large price variations of cryptocurrencies," Papers 2302.12319, arXiv.org.
    21. Lee, Jei Young, 2019. "A decentralized token economy: How blockchain and cryptocurrency can revolutionize business," Business Horizons, Elsevier, vol. 62(6), pages 773-784.
    22. Nie, Chun-Xiao, 2020. "Correlation dynamics in the cryptocurrency market based on dimensionality reduction analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    23. Konstantin Häusler & Hongyu Xia, 2022. "Indices on cryptocurrencies: an evaluation," Digital Finance, Springer, vol. 4(2), pages 149-167, September.
    24. Masuhr Andreas & Trede Mark, 2020. "Bayesian estimation of generalized partition of unity copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 119-131, January.
    25. Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
    26. Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2019. "Metcalfe's law and herding behaviour in the cryptocurrencies market," Economics Discussion Papers 2019-16, Kiel Institute for the World Economy (IfW Kiel).
    27. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    28. Maurice Omane‐Adjepong & Imhotep Paul Alagidede, 2021. "Modelling Asymmetry and Leverage in Cryptocurrencies and Emerging Financial Markets," Economic Papers, The Economic Society of Australia, vol. 40(2), pages 152-166, June.
    29. Kerolly Kedma Felix do Nascimento & Fábio Sandro dos Santos & Jader Silva Jale & Silvio Fernando Alves Xavier Júnior & Tiago A. E. Ferreira, 2023. "Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1095-1114, March.
    30. Steven Campbell & Qien Song & Ting-Kam Leonard Wong, 2024. "Macroscopic properties of equity markets: stylized facts and portfolio performance," Papers 2409.10859, arXiv.org, revised Oct 2024.
    31. Shaen Corbet & Les Oxley, 2023. "Investigating the Academic Response to Cryptocurrencies: Insights from Research Diversification as Separated by Journal Ranking," Review of Corporate Finance, now publishers, vol. 3(4), pages 487-528, September.
    32. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    33. C. Vladimir Rodríguez-Caballero & Mauricio Villanueva-Domínguez, 2022. "Predicting cryptocurrency crash dates," Empirical Economics, Springer, vol. 63(6), pages 2855-2873, December.
    34. Masuhr Andreas & Trede Mark, 2020. "Bayesian estimation of generalized partition of unity copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 119-131, January.
    35. Garcia-Jorcano, Laura & Benito, Sonia, 2020. "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, vol. 54(C).
    36. Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.
    37. Shapovalova, Daria & Stephen, Kathrin, 2019. "No race for the Arctic? Examination of interconnections between legal regimes for offshore petroleum licensing and level of industry activity," Energy Policy, Elsevier, vol. 129(C), pages 907-917.
    38. Qi, Qi & Long, Chao & Wu, Jianzhong & Yu, James, 2018. "Impacts of a medium voltage direct current link on the performance of electrical distribution networks," Applied Energy, Elsevier, vol. 230(C), pages 175-188.
    39. Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
    40. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
    41. Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca, 2021. "Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 863-882, December.
    42. Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2018. "Cryptocurrencies, Metcalfe's law and LPPL models," IRTG 1792 Discussion Papers 2018-056, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    43. Altan, Aytaç & Karasu, Seçkin & Bekiros, Stelios, 2019. "Digital currency forecasting with chaotic meta-heuristic bio-inspired signal processing techniques," Chaos, Solitons & Fractals, Elsevier, vol. 126(C), pages 325-336.
    44. Ramit Sawhney & Shivam Agarwal & Vivek Mittal & Paolo Rosso & Vikram Nanda & Sudheer Chava, 2022. "Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models," Papers 2206.06320, arXiv.org.
    45. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    46. Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "High frequency volatility co-movements in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 35-52.
    47. Alessio Brini & Jimmie Lenz, 2024. "A comparison of cryptocurrency volatility-benchmarking new and mature asset classes," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-38, December.
    48. Nocera, Silvio & Fabio, Alberto & Cavallaro, Federico, 2020. "The adoption of grid transit networks in non-metropolitan contexts," Transportation Research Part A: Policy and Practice, Elsevier, vol. 132(C), pages 256-272.
    49. Luis Lorenzo & Javier Arroyo, 2022. "Analysis of the cryptocurrency market using different prototype-based clustering techniques," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-46, December.
    50. Seo, Myung Hwan & Koo, Bonsoo & Yang, Yangzhuoran Fin, 2024. "Nonlinear dynamics of Kimchi premium," Economic Modelling, Elsevier, vol. 135(C).
    51. Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    52. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
    53. Ghosh, Bikramaditya & Bouri, Elie & Wee, Jung Bum & Zulfiqar, Noshaba, 2023. "Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs," Research in International Business and Finance, Elsevier, vol. 65(C).
    54. Konstantin Hausler & Wolfgang Karl Hardle, 2021. "Cryptocurrency Dynamics: Rodeo or Ascot?," Papers 2103.12461, arXiv.org, revised Jan 2022.
    55. Zięba, Damian, 2024. "If GPU(time) == money: Sustainable crypto-asset market? Analysis of similarity among crypto-asset financial time series," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 863-912.
    56. Punzo, Antonio & Bagnato, Luca, 2021. "Modeling the cryptocurrency return distribution via Laplace scale mixtures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    57. Alessio Brini & Jimmie Lenz, 2024. "A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes," Papers 2404.04962, arXiv.org.
    58. Ha Nguyen & Bin Liu & Nirav Y. Parikh, 2020. "Exploring the short-term momentum effect in the cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 425-443, July.
    59. Borgards, Oliver, 2021. "Dynamic time series momentum of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    60. Fang, Sheng & Cao, Guangxi & Egan, Paul, 2023. "Forecasting and backtesting systemic risk in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).
    61. Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Albulescu, Claudiu T. & Wohar, Mark E., 2020. "Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    62. Häusler, Konstantin & Härdle, Wolfgang, 2021. "Rodeo or ascot: Which hat to wear at the crypto race?," IRTG 1792 Discussion Papers 2021-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    63. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    64. Pele, Daniel Traian & Wesselhöfft, Niels & Härdle, Wolfgang Karl & Kolossiatis, Michalis & Yatracos, Yannis, 2019. "Phenotypic convergence of cryptocurrencies," IRTG 1792 Discussion Papers 2019-018, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

  52. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.

    Cited by:

    1. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
    2. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
    3. Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    4. Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018. "How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?," MPRA Paper 91253, University Library of Munich, Germany.
    5. Hyeonoh Kim & Eojin Yi & Jooyoung Jeon & Taeyoung Park & Kwangwon Ahn, 2024. "After the Split: Market Efficiency of Bitcoin Cash," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 411-427, July.
    6. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    7. Ma, Chaoqun & Tian, Yonggang & Hsiao, Shisong & Deng, Liurui, 2022. "Monetary policy shocks and Bitcoin prices," Research in International Business and Finance, Elsevier, vol. 62(C).
    8. Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    9. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    10. Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market," Complexity, Hindawi, vol. 2018, pages 1-20, July.
    11. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
    12. Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Kang, Sang Hoon, 2019. "Time-varying dynamic conditional correlation between stock and cryptocurrency markets using the copula-ADCC-EGARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    13. Brajaballav Kar & Chandrabhanu Das, 2022. "Cryptocurrency Response to COVID-19: A Test of Efficient Market Hypothesis," Springer Proceedings in Business and Economics, in: Rabi Narayan Subudhi & Sumita Mishra & Abu Saleh & Dariush Khezrimotlagh (ed.), Future of Work and Business in Covid-19 Era, pages 9-18, Springer.
    14. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    15. Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
    16. Aslanidis, Nektarios & Bariviera, Aurelio F. & Martínez-Ibañez, Oscar, 2019. "An analysis of cryptocurrencies conditional cross correlations," Finance Research Letters, Elsevier, vol. 31(C), pages 130-137.
    17. Merediz-Solà, Ignasi & Bariviera, Aurelio F., 2019. "A bibliometric analysis of bitcoin scientific production," Research in International Business and Finance, Elsevier, vol. 50(C), pages 294-305.
    18. Majid Mirzaee Ghazani & Mohammad Ali Jafari, 2021. "Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
    19. Pho, Kim Hung & Ly, Sel & Lu, Richard & Hoang, Thi Hong Van & Wong, Wing-Keung, 2021. "Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China," International Review of Financial Analysis, Elsevier, vol. 74(C).
    20. Wang, Gang-Jin & Ma, Xin-yu & Wu, Hao-yu, 2020. "Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?," Research in International Business and Finance, Elsevier, vol. 54(C).
    21. Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
    22. Sierra-Porta, D. & Domínguez-Monterroza, Andy-Rafael, 2022. "Linking cosmic ray intensities to cutoff rigidity through multifractal detrented fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    23. Kim, Myeong Jun & Canh, Nguyen Phuc & Park, Sung Y., 2021. "Causal relationship among cryptocurrencies: A conditional quantile approach," Finance Research Letters, Elsevier, vol. 42(C).
    24. Rehman, Mobeen Ur & Asghar, Nadia & Kang, Sang Hoon, 2020. "Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    25. Aslam, Faheem & Memon, Bilal Ahmed & Hunjra, Ahmed Imran & Bouri, Elie, 2023. "The dynamics of market efficiency of major cryptocurrencies," Global Finance Journal, Elsevier, vol. 58(C).
    26. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
    27. Hu, Yang & Valera, Harold Glenn A. & Oxley, Les, 2019. "Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework," Finance Research Letters, Elsevier, vol. 31(C), pages 138-145.
    28. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
    29. Duan, Kun & Zhang, Liya & Urquhart, Andrew & Yao, Kai & Peng, Long, 2024. "Do clean and dirty cryptocurrencies connect financial assets differently? The perspective of market inefficiency," Research in International Business and Finance, Elsevier, vol. 70(PB).
    30. Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.
    31. ANGHEL, Dan-Gabriel, 2021. "A reality check on trading rule performance in the cryptocurrency market: Machine learning vs. technical analysis," Finance Research Letters, Elsevier, vol. 39(C).
    32. Aggarwal, Divya & Chandrasekaran, Shabana & Annamalai, Balamurugan, 2020. "A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    33. Hu, Yitong & Shen, Dehua & Urquhart, Andrew, 2023. "Attention allocation and cryptocurrency return co-movement: Evidence from the stock market," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1173-1185.
    34. Mingyu Nan & Yifan Zhu & Jie Zhang & Tao Wang & Xin Zhou, 2022. "MSGWO-MKL-SVM: A Missing Link Prediction Method for UAV Swarm Network Based on Time Series," Mathematics, MDPI, vol. 10(14), pages 1-29, July.
    35. Xiao Fan Liu & Xin-Jian Jiang & Si-Hao Liu & Chi Kong Tse, 2020. "Knowledge Discovery in Cryptocurrency Transactions: A Survey," Papers 2010.01031, arXiv.org.
    36. Luiz G. A. Alves & Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2020. "Collective dynamics of stock market efficiency," Papers 2011.14809, arXiv.org.
    37. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2021. "Bitcoin versus high-performance technology stocks in diversifying against global stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    38. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    39. Umar, Muhammad & Shahzad, Fakhar & Ullah, Irfan & Fanghua, Tong, 2023. "A comparative analysis of cryptocurrency returns and economic policy uncertainty pre- and post-Covid-19," Research in International Business and Finance, Elsevier, vol. 65(C).
    40. Svogun, Daniel & Bazán-Palomino, Walter, 2022. "Technical analysis in cryptocurrency markets: Do transaction costs and bubbles matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    41. Sharif, Arshian & Brahim, Mariem & Dogan, Eyup & Tzeremes, Panayiotis, 2023. "Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
    42. Bruzgė, Rasa & Šapkauskienė, Alfreda, 2022. "Network analysis on Bitcoin arbitrage opportunities," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    43. Burggraf, Tobias & Rudolf, Markus, 2021. "Cryptocurrencies and the low volatility anomaly," Finance Research Letters, Elsevier, vol. 40(C).
    44. Bennett, Donyetta & Mekelburg, Erik & Williams, T.H., 2023. "BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing," Research in International Business and Finance, Elsevier, vol. 65(C).
    45. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
    46. Takaishi, Tetsuya, 2020. "Rough volatility of Bitcoin," Finance Research Letters, Elsevier, vol. 32(C).
    47. Jiang, Yonghong & Lie, Jiayi & Wang, Jieru & Mu, Jinqi, 2021. "Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective," Economic Modelling, Elsevier, vol. 95(C), pages 21-34.
    48. Grobys, Klaus & Sapkota, Niranjan, 2019. "Cryptocurrencies and momentum," Economics Letters, Elsevier, vol. 180(C), pages 6-10.
    49. Chuxuan Jiang & Priya Dev & Ross A. Maller, 2020. "A Hypothesis Test Method for Detecting Multifractal Scaling, Applied to Bitcoin Prices," JRFM, MDPI, vol. 13(5), pages 1-21, May.
    50. Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2019. "Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market," Papers 1901.04967, arXiv.org.
    51. Mokni, Khaled & Youssef, Manel & Ajmi, Ahdi Noomen, 2022. "COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 60(C).
    52. Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    53. Celeste, Valerio & Corbet, Shaen & Gurdgiev, Constantin, 2020. "Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 310-324.
    54. Francisco Javier García-Corral & José Antonio Cordero-García & Jaime de Pablo-Valenciano & Juan Uribe-Toril, 2022. "A bibliometric review of cryptocurrencies: how have they grown?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
    55. Tetsuya Takaishi, 2021. "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-21, February.
    56. Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," IJFS, MDPI, vol. 8(2), pages 1-9, April.
    57. Aslanidis, Nektarios & Fernández Bariviera, Aurelio & Savva, Christos S., 2020. "Weekly dynamic conditional correlations among cryptocurrencies and traditional assets," Working Papers 2072/417680, Universitat Rovira i Virgili, Department of Economics.
    58. Piñeiro-Chousa, Juan & López-Cabarcos, M. Ángeles & Sevic, Aleksandar & González-López, Isaac, 2022. "A preliminary assessment of the performance of DeFi cryptocurrencies in relation to other financial assets, volatility, and user-generated content," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
    59. Ivanovski, Kris & Hailemariam, Abebe, 2023. "Forecasting the stock-cryptocurrency relationship: Evidence from a dynamic GAS model," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 97-111.
    60. Grobys, Klaus & Ahmed, Shaker & Sapkota, Niranjan, 2020. "Technical trading rules in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 32(C).
    61. Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021. "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.

  53. Minghua Dong & Xiong Xiong & Xiao Li & Dehua Shen, 2018. "Weibo Attention and Stock Market Performance: Some Empirical Evidence," Complexity, Hindawi, vol. 2018, pages 1-8, September.

    Cited by:

    1. Zu, Xu & Diao, Xinyi & Meng, Zhiyi, 2019. "The impact of social media input intensity on firm performance: Evidence from Sina Weibo," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    2. Chen, Qitong & Zhu, Huiming & Yu, Dongwei & Hau, Liya, 2022. "How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).

  54. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.

    Cited by:

    1. Erli Dan & Jianfei Shen, 2022. "Establishment of Corporate Energy Management Systems and Voluntary Carbon Information Disclosure in Chinese Listed Companies: The Moderating Role of Corporate Leaders’ Low-Carbon Awareness," Sustainability, MDPI, vol. 14(5), pages 1-28, February.
    2. Muhammad Ateeq ur REHMAN & Furman ALI & Shang XIE, 2022. "Impact of Foreign Investment News on the Return, Cost of Equity and Cash Flow Activities," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 112-127, December.
    3. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    4. Muhammad Ateeq ur REHMAN & Syed Ghulam Meran SHAH & Lucian-Ionel CIOCA & Alin ARTENE, 2021. "Accentuating the Impacts of Political News on the Stock Price, Working Capital and Performance: An Empirical Review of Emerging Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 55-73, June.
    5. Wang, Gaoshan & Yu, Guangjin & Shen, Xiaohong, 2021. "The effect of online environmental news on green industry stocks: The mediating role of investor sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
    6. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    7. Edward P. K. Tsang & Shuai Ma & V. L. Raju Chinthalapati, 2024. "Nowcasting directional change in high frequency FX markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 31(1), March.
    8. Whelsy Boungou & Francis Osei-Tutu & Alhonita Yatié & Amara Zongo, 2022. "The Ukraine-Russia war and systemic financial stress," Economics Bulletin, AccessEcon, vol. 42(3), pages 1203-1220.
    9. Iqbal, Javid & Saeed, Abubakr, 2023. "Managerial sentiments, non-performing loans, and banks financial performance: A causal mediation approach," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).

  55. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.

    Cited by:

    1. Kong, Dongmin & Yang, Yiwei & Wang, Qin, 2023. "Innovative efficiency and firm value: Evidence from China," Finance Research Letters, Elsevier, vol. 52(C).
    2. Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2020. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management," JRFM, MDPI, vol. 13(10), pages 1-28, September.
    3. Dai, Zhifeng & Zhu, Haoyang, 2023. "Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 421-450.
    4. Mei, Dexiang & Zeng, Qing & Cao, Xiang & Diao, Xiaohua, 2019. "Uncertainty and oil volatility: New evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 155-163.
    5. Maryam Abid & Danish Ahmed Siddique, 2020. "Impact of Financial Market Uncertainty on Market Returns: A Global Analysis," Business and Economic Research, Macrothink Institute, vol. 10(3), pages 216-244, September.
    6. Chow, Sheung Chi & Vieito, João Paulo & Wong, Wing-Keung, 2018. "Do both demand-following and supply-leading theories hold true in developing countries?," MPRA Paper 87641, University Library of Munich, Germany.
    7. Yin, Xiao-Cui & Li, Xin & Wang, Min-Hui & Qin, Meng & Shao, Xue-Feng, 2021. "Do economic policy uncertainty and its components predict China's housing returns?," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    8. Yu, Xiaoling & Huang, Yirong, 2021. "The impact of economic policy uncertainty on stock volatility: Evidence from GARCH–MIDAS approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
    9. Canh Phuc Nguyen & Thanh Dinh Su, 2022. "When ‘uncertainty’ becomes ‘unknown’: Influences of economic uncertainty on the shadow economy," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 93(3), pages 677-716, September.
    10. Yan, Hanhuan & Han, Liyan, 2019. "Empirical distributions of stock returns: Mixed normal or kernel density?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 473-486.
    11. Shabir Mohsin Hashmi & Muhammad Akram Gilal & Wing-Keung Wong, 2021. "Sustainability of Global Economic Policy and Stock Market Returns in Indonesia," Sustainability, MDPI, vol. 13(10), pages 1-18, May.
    12. Chada, Swechha, 2023. "Economic policy uncertainties and institutional ownership in India," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    13. Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
    14. He, Feng & Wang, Ziwei & Yin, Libo, 2020. "Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    15. Mokni, Khaled, 2021. "When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 65-73.
    16. Shao, Ying-Hui & Yang, Yan-Hong & Zhou, Wei-Xing, 2022. "How does economic policy uncertainty comove with stock markets: New evidence from symmetric thermal optimal path method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    17. Manel Youssef & Khaled Mokni & Ahdi Noomen Ajmi, 2021. "Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    18. Lenka Novotná & Zuzana Rowland & Svatopluk Janek, 2023. "Impacts of the war on prices of Ukrainian wheat," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(10), pages 404-415.
    19. Yonghong Jiang & Gengyu Tian & Yiqi Wu & Bin Mo, 2022. "Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 320-333, January.
    20. Anindya Sen & Dennis Wesselbaum, 2023. "On the International Spillover Effects of Uncertainty," Open Economies Review, Springer, vol. 34(3), pages 541-554, July.
    21. Tang, Liang & Wan, Xiangyu, 2022. "Economic policy uncertainty and stock price informativeness," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    22. Shah, Syed Faisal & Albaity, Mohamed, 2022. "The role of trust, investor sentiment, and uncertainty on bank stock return performance: Evidence from the MENA region," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    23. Babaei, Hamid & Hübner, Georges & Muller, Aline, 2023. "The effects of uncertainty on the dynamics of stock market interdependence: Evidence from the time-varying cointegration of the G7 stock markets," Journal of International Money and Finance, Elsevier, vol. 139(C).
    24. Xuejun Jin & Ziqing Chen & Xiaolan Yang, 2019. "Economic policy uncertainty and stock price crash risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(5), pages 1291-1318, March.
    25. Wang, Pengfei & Li, Xiao & Shen, Dehua & Zhang, Wei, 2020. "How does economic policy uncertainty affect the bitcoin market?," Research in International Business and Finance, Elsevier, vol. 53(C).
    26. Shah Saeed Hassan Chowdhury & Hassan Ahmed, 2023. "The Effects of Economic Policy Uncertainty on the Indian Stock Market," International Business Research, Canadian Center of Science and Education, vol. 16(1), pages 1-54, January.
    27. Rababa’a, Abdel Razzaq Al & Alomari, Mohammad & Rehman, Mobeen Ur & McMillan, David & Hendawi, Raed, 2022. "Multiscale relationship between economic policy uncertainty and sectoral returns: Implications for portfolio management," Research in International Business and Finance, Elsevier, vol. 61(C).
    28. Ruzhao Gao & Yancai Zhao & Bing Zhang, 2021. "The spillover effects of economic policy uncertainty on the oil, gold, and stock markets: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2134-2141, April.
    29. Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo, 2024. "Herding towards carbon neutrality: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 91(C).
    30. Maria Ghani & Usman Ghani, 2024. "Economic Policy Uncertainty and Emerging Stock Market Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 165-181, March.
    31. Wu, Xu & Wang, Pei-Yu & Wang, Kun, 2023. "The effect of stabilization fund to rescue stock market based on expected return-capita circulation equation," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
    32. Nguyen, Canh Phuc & Le, Thai-Ha & Su, Thanh Dinh, 2020. "Economic policy uncertainty and credit growth: Evidence from a global sample," Research in International Business and Finance, Elsevier, vol. 51(C).
    33. He, Feng & Ma, Feng & Wang, Ziwei & Yang, Bohan, 2021. "Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector," International Review of Financial Analysis, Elsevier, vol. 75(C).

  56. Li, Xiao & Shen, Dehua & Zhang, Wei, 2018. "Do Chinese internet stock message boards convey firm-specific information?," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 1-14.

    Cited by:

    1. Cong, Yunyu & Sun, Fangfang & Wang, Fusheng & Ye, Qiang, 2022. "Information assimilation and stock return synchronicity: Evidence from an investor relations management platform," Emerging Markets Review, Elsevier, vol. 53(C).
    2. Jie Li & Li Yu & Xiaofeng Mei & Xu Feng, 2022. "Do social media constrain or promote company violations?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 31-70, March.
    3. Wang, Xinjie & Xiang, Zhiqiang & Xu, Weike & Yuan, Peixuan, 2022. "The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum," Economics Letters, Elsevier, vol. 216(C).
    4. Yongqiang Meng & Dehua Shen & Xiong Xiong & Jorgen Vitting Andersen, 2020. "A Socio-Finance Model: The Case of Bitcoin," Documents de travail du Centre d'Economie de la Sorbonne 20031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Zhao, Shuping & Xu, Kai & Wang, Zhao & Liang, Changyong & Lu, Wenxing & Chen, Bo, 2022. "Financial distress prediction by combining sentiment tone features," Economic Modelling, Elsevier, vol. 106(C).
    6. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.
    7. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    8. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    9. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    10. Meng, Yongqiang & Shen, Dehua & Xiong, Xiong, 2023. "When stock price crash risk meets fundamentals," Research in International Business and Finance, Elsevier, vol. 65(C).
    11. Ruwei Zhao & Xiong Xiong & Dehua Shen & Wei Zhang, 2019. "Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 695-715, March.
    12. Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.
    13. Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Do messages on online stock forums spur firm productivity?," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    14. Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen, 2023. "Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach," Post-Print hal-04194180, HAL.
    15. Zhang, Zuochao & Shen, Dehua, 2024. "Internet stock message boards and the price–volume relationship: Registered users vs non-registered users," Finance Research Letters, Elsevier, vol. 61(C).
    16. Hao, Jing, 2023. "Retail investor attention and corporate innovation in the big data era," International Review of Financial Analysis, Elsevier, vol. 86(C).
    17. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    18. Xiong, Xiong & Meng, Yongqiang & Joseph, Nathan Lael & Shen, Dehua, 2020. "Stock mispricing, hard-to-value stocks and the influence of internet stock message boards," International Review of Financial Analysis, Elsevier, vol. 72(C).
    19. Zeng, Qing & Cao, Jiawei & Guo, Yangli & Dong, Dayong, 2023. "The macroeconomic attention index: Evidence from China," Finance Research Letters, Elsevier, vol. 52(C).
    20. Lu, Jing & Chen, Rongze, 2023. "Do individual investors pay attention to the information acquisition activities of institutional investors?," Finance Research Letters, Elsevier, vol. 58(PD).
    21. Chu, Gang & Li, Xiao & Zhang, Yongjie, 2022. "Information demand and net selling around earnings announcement," Research in International Business and Finance, Elsevier, vol. 59(C).
    22. Smita Roy Trivedi, 2024. "Into the Unknown: Uncertainty, Foreboding and Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 1-23, March.
    23. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    24. Shaen Corbet & Yang (Greg) Hou & Yang Hu & Les Oxley, 2022. "We Reddit in a Forum: The Influence of Message Boards on Firm Stability," Review of Corporate Finance, now publishers, vol. 2(1), pages 151-190, March.
    25. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2020. "Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    26. Cynthia W. Cai & Martina K. Linnenluecke & Mauricio Marrone & Abhay K. Singh, 2019. "Machine Learning and Expert Judgement: Analyzing Emerging Topics in Accounting and Finance Research in the Asia–Pacific," Abacus, Accounting Foundation, University of Sydney, vol. 55(4), pages 709-733, December.
    27. Deepak Gupta & Mahardhika Pratama & Zhenyuan Ma & Jun Li & Mukesh Prasad, 2019. "Financial time series forecasting using twin support vector regression," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-27, March.
    28. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
    29. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    30. Hu, Yitong & Li, Xiao & Goodell, John W. & Shen, Dehua, 2021. "Investor attention shocks and stock co-movement: Substitution or reinforcement?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    31. Li, Xiao & Xing, Yao, 2023. "When stock return synchronicity meets investor sentiment," Finance Research Letters, Elsevier, vol. 53(C).
    32. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    33. Dong, Dayong & Jiang, Danling & Wu, Keke & Zhu, Hongquan, 2024. "Game in another town: Geography of stock watchlists and firm valuation," Journal of Banking & Finance, Elsevier, vol. 163(C).
    34. He, Feng & Liu, Guanchun & Hao, Jing & Li, Youwei, 2023. "CSR performance and firm idiosyncratic risk in a data-rich environment: The role of retail investor attention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    35. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    36. Wei Zhang & Pengfei Wang, 2020. "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 445-468, July.
    37. Xiao Wu, Dong & Yao, Xiao & Luan Guo, Jian, 2021. "Is Textual Tone Informative or Inflated for Firm’s Future Value? Evidence from Chinese Listed Firms," Economic Modelling, Elsevier, vol. 94(C), pages 513-525.
    38. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).
    39. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.
    40. Trichilli, Yousra & Abbes, Mouna Boujelbène & Masmoudi, Afif, 2020. "Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis," Research in International Business and Finance, Elsevier, vol. 51(C).
    41. Shen, Dehua & Tong, Zezheng & Goodell, John W., 2024. "Do online message boards convey cryptocurrency-specific information?," International Review of Financial Analysis, Elsevier, vol. 91(C).

  57. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.

    Cited by:

    1. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.
    2. Boubaker, Sabri & Liu, Zhenya & Zhai, Ling, 2021. "Big data, news diversity and financial market crash," Technological Forecasting and Social Change, Elsevier, vol. 168(C).
    3. Mirjalili, Seyed Hossein & Dehghan Khavari, Saeed & Iraji, Maryam, 2021. "The Asymmetric Impact of Weighting Economic and Political Events on the Fluctuations of Banking Group Index (Case of Tehran Stock Exchange)," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 16(3), pages 399-416.
    4. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    5. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    6. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    7. Dehghan Khavari , Saeed & Mirjalili , Seyed Hossein & Iraji , Maryam, 2021. "The Asymmetric Impact of Weighting Economic and Political Events on the Fluctuations of Banking Group Index (Case of Tehran Stock Exchange)," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(3), pages 399-416, September.
    8. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    9. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).

  58. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.

    Cited by:

    1. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    2. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
    3. Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.
    4. Qadan, Mahmoud, 2019. "Risk appetite, idiosyncratic volatility and expected returns," International Review of Financial Analysis, Elsevier, vol. 65(C).
    5. Rilwan Sakariyahu & Mohamed Sherif & Audrey Paterson & Eleni Chatzivgeri, 2021. "Sentiment‐Apt investors and UK sector returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3321-3351, July.
    6. Maria Elisabete Neves & Carla Henriques & João Vilas, 2021. "Financial performance assessment of electricity companies: evidence from Portugal," Operational Research, Springer, vol. 21(4), pages 2809-2857, December.
    7. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 50-53.
    8. Maria Elisabete Neves & Mário Abreu Pinto & Carla Manuela de Assunção Fernandes & Elisabete Fátima Simões Vieira, 2021. "Value and growth stock returns: international evidence (JES)," International Journal of Accounting & Information Management, Emerald Group Publishing Limited, vol. 29(5), pages 698-733, October.
    9. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    10. Rilwan Sakariyahu & Audrey Paterson & Eleni Chatzivgeri & Rodiat Lawal, 2024. "Chasing noise in the stock market: an inquiry into the dynamics of investor sentiment and asset pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 135-169, January.
    11. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
    12. Shi, Yong & Tang, Ye-ran & Long, Wen, 2019. "Sentiment contagion analysis of interacting investors: Evidence from China’s stock forum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 246-259.
    13. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    14. Qadan, Mahmoud & Aharon, David Y. & Cohen, Gil, 2020. "Everybody likes shopping, including the US capital market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    15. Li, Xiao & Shen, Dehua & Xue, Mei & Zhang, Wei, 2017. "Daily happiness and stock returns: The case of Chinese company listed in the United States," Economic Modelling, Elsevier, vol. 64(C), pages 496-501.
    16. Ying Wang & Hongwei Zhang & Wang Gao & Cai Yang, 2023. "Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains," Tourism Economics, , vol. 29(2), pages 460-487, March.
    17. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    18. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    19. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2021. "The day-of-the-week-effect on the volatility of commodities," Resources Policy, Elsevier, vol. 71(C).
    20. Sakariyahu, Rilwan & Lawal, Rodiat & Adigun, Rasheed & Paterson, Audrey & Johan, Sofia, 2024. "One crash, too many: Global uncertainty, sentiment factors and cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    21. Pandey, Dharen Kumar & Kumari, Vineeta & Palma, Alessia & Goodell, John W., 2024. "Are markets in happier countries less affected by tragic events? Evidence from market reaction to the Israel–Hamas conflict," Finance Research Letters, Elsevier, vol. 60(C).
    22. Lao, Jiashun & Nie, He & Jiang, Yonghong, 2018. "Revisiting the investor sentiment–stock returns relationship: A multi-scale perspective using wavelets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 420-427.
    23. Mo, Guoli & Zhang, Weiguo & Tan, Chunzhi & Liu, Xing, 2022. "Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).

  59. Dehua Shen & Yongjie Zhang & Xiong Xiong & Wei Zhang, 2017. "Baidu index and predictability of Chinese stock returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-8, December.

    Cited by:

    1. Zhongchen Song & Tom Coupé, 2022. "Predicting Chinese consumption series with Baidu," Working Papers in Economics 22/19, University of Canterbury, Department of Economics and Finance.
    2. Xusen Cheng & Danya Huang & Jin Chen & Xiangsong Meng & Chengyao Li, 2019. "An Investigation on Factors Affecting Stock Valuation Using Text Mining for Automated Trading," Sustainability, MDPI, vol. 11(7), pages 1-17, April.
    3. Yongli Li & Tianchen Wang & Baiqing Sun & Chao Liu, 2022. "Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-36, December.
    4. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    5. Chen, Zhang-Hangjian & Chu, Wei-Wei & Gao, Xiang & Koedijk, Kees G. & Xu, Yaping, 2024. "Extreme weather, climate risk, and the lead–lag role of carbon," Global Finance Journal, Elsevier, vol. 61(C).
    6. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    7. Geng, Yuedan & Ye, Qiang & Jin, Yu & Shi, Wen, 2022. "Crowd wisdom and internet searches: What happens when investors search for stocks?," International Review of Financial Analysis, Elsevier, vol. 82(C).
    8. Lin, Yong & Wang, Renyu & Gong, Xingyue & Jia, Guozhu, 2022. "Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: Evidence from Baidu Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    9. Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.
    10. Duc Dang Thi Viet & Hoai Nguyen Thu & Nguyen Van Phuoc & Nguyen Dang Phong & Anh Nguyen Huong & Hai Ho Hong, 2024. "Google Search intensity and stock returns in frontier markets: Evidence from the Vietnamese market," Economics and Business Review, Sciendo, vol. 10(1), pages 30-56, April.
    11. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    12. Chen, Rongda & Bao, Weiwei & Jin, Chenglu, 2021. "Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 112-129.
    13. Jichang Dong & Wei Dai & Ying Liu & Lean Yu & Jie Wang, 2019. "Forecasting Chinese Stock Market Prices using Baidu Search Index with a Learning-Based Data Collection Method," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1605-1629, September.
    14. Wen, Fenghua & Xu, Longhao & Ouyang, Guangda & Kou, Gang, 2019. "Retail investor attention and stock price crash risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 65(C).
    15. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    16. Deepak Gupta & Mahardhika Pratama & Zhenyuan Ma & Jun Li & Mukesh Prasad, 2019. "Financial time series forecasting using twin support vector regression," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-27, March.
    17. Yingxiu Zhao & Wei Zhang & Xiangyu Kong, 2019. "Dynamic Cross-Correlations between Participants’ Attentions to P2P Lending and Offline Loan in the Private Lending Market," Complexity, Hindawi, vol. 2019, pages 1-8, December.
    18. Bernd Süssmuth, 2022. "The mutual predictability of Bitcoin and web search dynamics," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 435-454, April.
    19. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    20. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    21. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
    22. Yongheng Wang & Xiaozan Zhang & Zengwang Wang, 2018. "A Proactive Decision Support System for Online Event Streams," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 17(06), pages 1891-1913, November.

  60. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.

    Cited by:

    1. Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
    2. Ruwei Zhao & Xiong Xiong & Dehua Shen & Wei Zhang, 2019. "Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 695-715, March.
    3. Songtao Wu & Jianmin He & Chao Wang, 2017. "Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity," Discrete Dynamics in Nature and Society, Hindawi, vol. 2017, pages 1-15, September.
    4. Wang, Kaiyang & Yang, Haizhen, 2018. "The price-volume relationship caused by asset allocation based on Kelly criterion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1-8.
    5. Adeyinka Adediran & Bola Babajide & Nataliia Osina, 2023. "Exploring the nexus between price and volume changes in the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 498-512, October.
    6. Roberto Mota Navarro & Hernán Larralde, 2017. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-27, February.
    7. Shoudong Chen & Yan-lin Sun & Yang Liu, 2018. "Forecast of stock price fluctuation based on the perspective of volume information in stock and exchange market," China Finance Review International, Emerald Group Publishing Limited, vol. 8(3), pages 297-314, May.

  61. Li, Xiao & Shen, Dehua & Xue, Mei & Zhang, Wei, 2017. "Daily happiness and stock returns: The case of Chinese company listed in the United States," Economic Modelling, Elsevier, vol. 64(C), pages 496-501.

    Cited by:

    1. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Kristoufek, Ladislav, 2018. "Does solar activity affect human happiness?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 47-53.
    3. Chen, Wen-Yi & Chen, Mei-Ping, 2022. "Twitter’s daily happiness sentiment, economic policy uncertainty, and stock index fluctuations," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    5. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    6. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "A Note on Investor Happiness and the Predictability of Realized Volatility of Gold," Working Papers 202004, University of Pretoria, Department of Economics.
    7. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2022. "Extreme sentiment and herding: Evidence from the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 63(C).
    8. Li, Xiao, 2021. "Does Chinese investor sentiment predict Asia-pacific stock markets? Evidence from a nonparametric causality-in-quantiles test," Finance Research Letters, Elsevier, vol. 38(C).
    9. Swamy, Vighneswara & Lagesh, M.A., 2023. "Does happy Twitter forecast gold price?," Resources Policy, Elsevier, vol. 81(C).
    10. Naeem, Muhammad Abubakr & Farid, Saqib & Faruk, Balli & Shahzad, Syed Jawad Hussain, 2020. "Can happiness predict future volatility in stock markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    11. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Happiness sentiments and the prediction of cross-border country exchange-traded fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    12. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    13. Zhang, Yuzhao & Liu, Haifei, 2021. "Stock market reactions to social media: Evidence from WeChat recommendations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
    14. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "Is stock return predictability time-varying?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 152-172.
    15. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 50-53.
    16. Aharon, David Y. & Demir, Ender & Lau, Chi Keung Marco & Zaremba, Adam, 2022. "Twitter-Based uncertainty and cryptocurrency returns," Research in International Business and Finance, Elsevier, vol. 59(C).
    17. Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019. "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, vol. 78(C), pages 32-39.
    18. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    19. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
    20. Na, Haejung & Kim, Soonho, 2021. "Predicting stock prices based on informed traders’ activities using deep neural networks," Economics Letters, Elsevier, vol. 204(C).
    21. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    22. Yılmaz, Emrah Sıtkı & Ozpolat, Aslı & Destek, Mehmet Akif, 2022. "Do Twitter Sentiments Really Effective on Energy Stocks? Evidence from Intercompany Dependency," MPRA Paper 114155, University Library of Munich, Germany.
    23. Shi, Yong & Tang, Ye-ran & Long, Wen, 2019. "Sentiment contagion analysis of interacting investors: Evidence from China’s stock forum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 246-259.
    24. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    25. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    26. Radeef Chundakkadan & Subash Sasidharan, 2021. "Central bank's money market operations and daily stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 136-152, January.
    27. Xiong Xiong & Chen Wang & Dehua Shen, 2020. "Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 439-452, September.
    28. Toan Luu Duc Huynh, 2023. "When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 639-661, August.
    29. Qadan, Mahmoud & Aharon, David Y. & Cohen, Gil, 2020. "Everybody likes shopping, including the US capital market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    30. Li, Yue & W. Goodell, John & Shen, Dehua, 2021. "Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 113-122.
    31. Gupta, Kartick & Banerjee, Rajabrata, 2019. "Does OPEC news sentiment influence stock returns of energy firms in the United States?," Energy Economics, Elsevier, vol. 77(C), pages 34-45.
    32. Qiu, Yue & Zheng, Yuchen, 2023. "Improving box office projections through sentiment analysis: Insights from regularization-based forecast combinations," Economic Modelling, Elsevier, vol. 125(C).
    33. Zhang, Tonghui & Yuan, Ying & Wu, Xi, 2020. "Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo," Finance Research Letters, Elsevier, vol. 32(C).
    34. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    35. Li, Xiao, 2020. "When financial literacy meets textual analysis: A conceptual review," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    36. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    37. Naeem, Muhammad Abubakr & Mbarki, Imen & Shahzad, Syed Jawad Hussain, 2021. "Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 496-514.
    38. Panagiota Makrychoriti & Fotios Pasiouras & Menelaos Tasiou, 2022. "Financial stress and economic growth: The moderating role of trust," Kyklos, Wiley Blackwell, vol. 75(1), pages 48-74, February.
    39. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    40. Pandey, Dharen Kumar & Kumari, Vineeta & Palma, Alessia & Goodell, John W., 2024. "Are markets in happier countries less affected by tragic events? Evidence from market reaction to the Israel–Hamas conflict," Finance Research Letters, Elsevier, vol. 60(C).
    41. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    42. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.

  62. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.

    Cited by:

    1. Yan, Hanhuan & Han, Liyan, 2019. "Empirical distributions of stock returns: Mixed normal or kernel density?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 473-486.
    2. Zu, Xu & Diao, Xinyi & Meng, Zhiyi, 2019. "The impact of social media input intensity on firm performance: Evidence from Sina Weibo," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    3. Zhang, Tonghui & Yuan, Ying & Wu, Xi, 2020. "Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo," Finance Research Letters, Elsevier, vol. 32(C).
    4. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    5. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    6. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    7. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    8. Shen, Dehua & Tong, Zezheng & Goodell, John W., 2024. "Do online message boards convey cryptocurrency-specific information?," International Review of Financial Analysis, Elsevier, vol. 91(C).

  63. Shen, Dehua & Li, Xiao & Zhang, Wei, 2017. "Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks," Finance Research Letters, Elsevier, vol. 23(C), pages 210-216.

    Cited by:

    1. Anwer, Zaheer & Khan, Muhammad Arif & Hassan, M. Kabir & Singh, Manjeet Kaur Harnek, 2024. "Assessing dynamic co-movement of news based uncertainty indices and distance-to -default of global FinTech firms," Research in International Business and Finance, Elsevier, vol. 71(C).
    2. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    3. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    4. Zhang, Zuochao & Shen, Dehua, 2024. "Not all the news fitting to reprint: Evidence from price-volume relationship," Finance Research Letters, Elsevier, vol. 62(PA).
    5. Gang Chu & John W. Goodell & Xiao Li & Yongjie Zhang, 2023. "Understanding short‐term price pressure from index reconstitutions: Evidence from the CSI 300," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2421-2440, June.
    6. Chou, Ke-Hsin & Day, Min-Yuh & Chiu, Chien-Liang, 2023. "Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 365-385.
    7. Jianchun Fang & Wanshan Wu & Zhou Lu & Eunho Cho, 2019. "Using Baidu Index To Nowcast Mobile Phone Sales In China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(01), pages 83-96, March.
    8. Naeem, Muhammad Abubakr & Farid, Saqib & Faruk, Balli & Shahzad, Syed Jawad Hussain, 2020. "Can happiness predict future volatility in stock markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    9. Zhang, Zuochao & Shen, Dehua, 2024. "Internet stock message boards and the price–volume relationship: Registered users vs non-registered users," Finance Research Letters, Elsevier, vol. 61(C).
    10. Ma, Yaming & Duan, Qiqi & Wu, Hanhong, 2021. "Does a stock's name affect its return? Evidence from the Chinese stock market during the China–US trade conflict," Finance Research Letters, Elsevier, vol. 40(C).
    11. Li, Xiao & Shen, Dehua & Zhang, Wei, 2018. "Do Chinese internet stock message boards convey firm-specific information?," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 1-14.
    12. Kao, Yu-Sheng & Day, Min-Yuh & Chou, Ke-Hsin, 2024. "A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    13. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.
    14. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 50-53.
    15. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
    16. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    17. Wan, Daoxia & Xue, Rui & Linnenluecke, Martina & Tian, Jinfang & Shan, Yuli, 2021. "The impact of investor attention during COVID-19 on investment in clean energy versus fossil fuel firms," Finance Research Letters, Elsevier, vol. 43(C).
    18. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    19. Feng, Wenjun & Wang, Yiming & Zhang, Zhengjun, 2018. "Informed trading in the Bitcoin market," Finance Research Letters, Elsevier, vol. 26(C), pages 63-70.
    20. Wei, Kai & Zhang, Zuopeng Justin & Lin, Boqiang, 2024. "Does news propaganda really affect residents’ electricity rebound effect: New evidence of non-price information," Energy, Elsevier, vol. 300(C).
    21. Zhang, Ting & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Order imbalances and market efficiency: New evidence from the Chinese stock market," Emerging Markets Review, Elsevier, vol. 38(C), pages 458-467.
    22. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    23. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    24. Ekinci, Cumhur & Akyildirim, Erdinc & Corbet, Shaen, 2019. "Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets," Finance Research Letters, Elsevier, vol. 31(C), pages 155-164.

  64. Jin, Xi & Shen, Dehua & Zhang, Wei, 2016. "Has microblogging changed stock market behavior? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 151-156.

    Cited by:

    1. Liu, Peipei & Xia, Xinping & Li, Antai, 2018. "Tweeting the financial market: Media effect in the era of Big Data," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 267-290.
    2. Ziyuan Ma & Conor Ryan & Jim Buckley & Muslim Chochlov, 2024. "Do Weibo platform experts perform better at predicting stock market?," Papers 2403.00772, arXiv.org.
    3. Gürkan BOZMA & Sinan KUL, 2020. "Can Twitter Forecast Uncertainty of Stocks?Abstract: Academic studies have shown that there is a relationship between emotional analysis results of tweets and stock price movements, and then stock pri," Sosyoekonomi Journal, Sosyoekonomi Society, issue 28(45).
    4. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
    5. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    6. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.
    7. Chou, Ke-Hsin & Day, Min-Yuh & Chiu, Chien-Liang, 2023. "Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 365-385.
    8. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "Daily happiness and stock returns: Some international evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 201-209.
    9. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    10. Zhang, Yuzhao & Liu, Haifei, 2021. "Stock market reactions to social media: Evidence from WeChat recommendations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
    11. Gao, Yang & Wang, Yaojun & Wang, Chao & Liu, Chao, 2018. "Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 802-811.
    12. Dehua Shen & Yongjie Zhang & Xiong Xiong & Wei Zhang, 2017. "Baidu index and predictability of Chinese stock returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-8, December.
    13. Minjian Ye & Guangzhong Li, 2017. "Internet big data and capital markets: a literature review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-18, December.
    14. Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei, 2016. "Market reaction to internet news: Information diffusion and price pressure," Economic Modelling, Elsevier, vol. 56(C), pages 43-49.
    15. Yingying Xu & Zhixin Liu & Jichang Zhao & Chiwei Su, 2017. "Weibo sentiments and stock return: A time-frequency view," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-21, July.
    16. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    17. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    18. Melody Y. Huang & Randall R. Rojas & Patrick D. Convery, 2020. "Forecasting stock market movements using Google Trend searches," Empirical Economics, Springer, vol. 59(6), pages 2821-2839, December.
    19. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
    20. Zu, Xu & Diao, Xinyi & Meng, Zhiyi, 2019. "The impact of social media input intensity on firm performance: Evidence from Sina Weibo," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    21. Li, Xiao & Shen, Dehua & Xue, Mei & Zhang, Wei, 2017. "Daily happiness and stock returns: The case of Chinese company listed in the United States," Economic Modelling, Elsevier, vol. 64(C), pages 496-501.
    22. Zhang, Tonghui & Yuan, Ying & Wu, Xi, 2020. "Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo," Finance Research Letters, Elsevier, vol. 32(C).
    23. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    24. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    25. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    26. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "R2 and idiosyncratic volatility: Which captures the firm-specific return variation?," Economic Modelling, Elsevier, vol. 55(C), pages 298-304.
    27. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.

  65. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "R2 and idiosyncratic volatility: Which captures the firm-specific return variation?," Economic Modelling, Elsevier, vol. 55(C), pages 298-304.
    See citations under working paper version above.
  66. Lin, Shen & Ren, Da & Zhang, Wei & Zhang, Yongjie & Shen, Dehua, 2016. "Network interdependency between social media and stock trading activities: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 305-312.

    Cited by:

    1. Zhang, Xingwei & Zheng, Xiaolong & Zeng, Daniel Dajun, 2017. "The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 32-42.
    2. Mahsa Samsami & Ralf Wagner, 2021. "Investment Decisions with Endogeneity: A Dirichlet Tree Analysis," JRFM, MDPI, vol. 14(7), pages 1-19, July.
    3. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "Daily happiness and stock returns: Some international evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 201-209.
    4. Yingying Xu & Zhixin Liu & Jichang Zhao & Chiwei Su, 2017. "Weibo sentiments and stock return: A time-frequency view," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-21, July.

  67. Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei, 2016. "Market reaction to internet news: Information diffusion and price pressure," Economic Modelling, Elsevier, vol. 56(C), pages 43-49.

    Cited by:

    1. Lan Yi & Jianping Tao & Caifeng Tan & Zhongkun Zhu, 2019. "Avian Influenza, Public Opinion, and Risk Spillover: Measurement, Theory, and Evidence from China’s Broiler Market," Sustainability, MDPI, vol. 11(8), pages 1-44, April.
    2. Liu, Ya-Fei & Li, Hui & Liang, Sai, 2022. "Any reputation is a good reputation: influence of investor-perceived reputation in restructuring on hospitality firm performance," Annals of Tourism Research, Elsevier, vol. 92(C).
    3. Dehua Shen & Xiao Li & Andrea Teglio & Wei Zhang, 2016. "The impact of information-based familiarity on the stock market," Working Papers 2016/08, Economics Department, Universitat Jaume I, Castellón (Spain).
    4. Yongqiang Meng & Dehua Shen & Xiong Xiong & Jorgen Vitting Andersen, 2020. "A Socio-Finance Model: The Case of Bitcoin," Documents de travail du Centre d'Economie de la Sorbonne 20031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Chi Dong & Hooi Hooi Lean & Zamri Ahmad & Wing-Keung Wong, 2019. "The Impact of Market Condition and Policy Change on the Sustainability of Intra-Industry Information Diffusion in China," Sustainability, MDPI, vol. 11(4), pages 1-20, February.
    6. Xu, Mingli & Yang, Wei & Huang, Zhixiong, 2021. "Do investor relations matter in the tourism industry? Evidence from public opinions in China," Economic Modelling, Elsevier, vol. 94(C), pages 923-933.
    7. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
    8. Gang Chu & John W. Goodell & Xiao Li & Yongjie Zhang, 2023. "Understanding short‐term price pressure from index reconstitutions: Evidence from the CSI 300," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2421-2440, June.
    9. Ruwei Zhao & Xiong Xiong & Dehua Shen & Wei Zhang, 2019. "Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 695-715, March.
    10. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.
    11. Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.
    12. Hong, Ziyang & Liu, Qingfu & Tse, Yiuman & Wang, Zilu, 2023. "Black mouth, investor attention, and stock return," International Review of Financial Analysis, Elsevier, vol. 90(C).
    13. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    14. Chi Dong & Hooi Hooi Lean & Zamri Ahmad, 2017. "Intra-industry information diffusion in China's stock market," Economics Bulletin, AccessEcon, vol. 37(1), pages 1-11.
    15. Xiong, Xiong & Meng, Yongqiang & Joseph, Nathan Lael & Shen, Dehua, 2020. "Stock mispricing, hard-to-value stocks and the influence of internet stock message boards," International Review of Financial Analysis, Elsevier, vol. 72(C).
    16. Yang, Wen & Lin, Dongtong & Yi, Zelong, 2017. "Impacts of the mass media effect on investor sentiment," Finance Research Letters, Elsevier, vol. 22(C), pages 1-4.
    17. Aouadi, Amal & Arouri, Mohamed & Roubaud, David, 2018. "Information demand and stock market liquidity: International evidence," Economic Modelling, Elsevier, vol. 70(C), pages 194-202.
    18. Zhen-Hua Yang & Jian-Guo Liu & Chang-Rui Yu & Jing-Ti Han, 2017. "Quantifying the effect of investors’ attention on stock market," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-16, May.
    19. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    20. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    21. Li, Yue & Goodell, John W. & Shen, Dehua, 2023. "Market reaction to climate risk report disclosures: The roles of investor attention and sentiment," Finance Research Letters, Elsevier, vol. 58(PA).
    22. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
    23. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    24. Mengyu Wang & Shay B. Cohen & Tiejun Ma, 2024. "Modeling News Interactions and Influence for Financial Market Prediction," Papers 2410.10614, arXiv.org.
    25. Li, Xiao & Shen, Dehua & Xue, Mei & Zhang, Wei, 2017. "Daily happiness and stock returns: The case of Chinese company listed in the United States," Economic Modelling, Elsevier, vol. 64(C), pages 496-501.
    26. Gupta, Kartick & Banerjee, Rajabrata, 2019. "Does OPEC news sentiment influence stock returns of energy firms in the United States?," Energy Economics, Elsevier, vol. 77(C), pages 34-45.
    27. Liu, Jian-Guo & Yang, Zhen-Hua & Li, Sheng-Nan & Yu, Chang-Rui, 2018. "A generative model for the collective attention of the Chinese stock market investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1175-1182.
    28. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    29. Mengyu Wang & Tiejun Ma, 2024. "MANA-Net: Mitigating Aggregated Sentiment Homogenization with News Weighting for Enhanced Market Prediction," Papers 2409.05698, arXiv.org.
    30. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    31. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    32. Shen, Dehua & Li, Xiao & Zhang, Wei, 2017. "Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks," Finance Research Letters, Elsevier, vol. 23(C), pages 210-216.
    33. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    34. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.

  68. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "Daily happiness and stock returns: Some international evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 201-209.

    Cited by:

    1. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Working Papers 202009, University of Pretoria, Department of Economics.
    2. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    3. Byström, Hans, 2020. "Happiness and Gold Prices," Working Papers 2020:1, Lund University, Department of Economics.
    4. Kristoufek, Ladislav, 2018. "Does solar activity affect human happiness?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 47-53.
    5. Chen, Wen-Yi & Chen, Mei-Ping, 2022. "Twitter’s daily happiness sentiment, economic policy uncertainty, and stock index fluctuations," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    6. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
    7. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    8. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "A Note on Investor Happiness and the Predictability of Realized Volatility of Gold," Working Papers 202004, University of Pretoria, Department of Economics.
    9. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2022. "Extreme sentiment and herding: Evidence from the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 63(C).
    10. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    11. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.
    12. Juan Pablo Gutierrez Pineda & Daniel Perez Liston, 2021. "The Effect of U.S. Investor Sentiment on Cross-Listed Securities Returns: A High-Frequency Approach," JRFM, MDPI, vol. 14(10), pages 1-15, October.
    13. Minghua Dong & Xiong Xiong & Xiao Li & Dehua Shen, 2018. "Weibo Attention and Stock Market Performance: Some Empirical Evidence," Complexity, Hindawi, vol. 2018, pages 1-8, September.
    14. Swamy, Vighneswara & Lagesh, M.A., 2023. "Does happy Twitter forecast gold price?," Resources Policy, Elsevier, vol. 81(C).
    15. Naeem, Muhammad Abubakr & Farid, Saqib & Faruk, Balli & Shahzad, Syed Jawad Hussain, 2020. "Can happiness predict future volatility in stock markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    16. Ningyu Tang & Jingqiu Chen & Kaili Zhang & Thomas Li-Ping Tang, 2018. "Monetary Wisdom: How Do Investors Use Love of Money to Frame Stock Volatility and Enhance Stock Happiness?," Journal of Happiness Studies, Springer, vol. 19(6), pages 1831-1862, August.
    17. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Happiness sentiments and the prediction of cross-border country exchange-traded fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    18. Piñeiro-Chousa, Juan & López-Cabarcos, M.Ángeles & Caby, Jérôme & Šević, Aleksandar, 2021. "The influence of investor sentiment on the green bond market," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
    19. Bouri, Elie & Demirer, Riza & Gabauer, David & Gupta, Rangan, 2022. "Financial market connectedness: The role of investors’ happiness," Finance Research Letters, Elsevier, vol. 44(C).
    20. You, Wanhai & Guo, Yawei & Peng, Cheng, 2017. "Twitter's daily happiness sentiment and the predictability of stock returns," Finance Research Letters, Elsevier, vol. 23(C), pages 58-64.
    21. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests," Journal of Behavioral and Experimental Finance, Elsevier, vol. 18(C), pages 50-53.
    22. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    23. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    24. Na, Haejung & Kim, Soonho, 2021. "Predicting stock prices based on informed traders’ activities using deep neural networks," Economics Letters, Elsevier, vol. 204(C).
    25. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    26. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
    27. Shi, Yong & Tang, Ye-ran & Long, Wen, 2019. "Sentiment contagion analysis of interacting investors: Evidence from China’s stock forum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 246-259.
    28. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    29. Xiong Xiong & Chen Wang & Dehua Shen, 2020. "Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 439-452, September.
    30. Qadan, Mahmoud & Aharon, David Y. & Cohen, Gil, 2020. "Everybody likes shopping, including the US capital market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    31. Li, Yue & W. Goodell, John & Shen, Dehua, 2021. "Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 113-122.
    32. Li, Xiao & Shen, Dehua & Xue, Mei & Zhang, Wei, 2017. "Daily happiness and stock returns: The case of Chinese company listed in the United States," Economic Modelling, Elsevier, vol. 64(C), pages 496-501.
    33. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment," Working Papers 202247, University of Pretoria, Department of Economics.
    34. Liu, Jian-Guo & Yang, Zhen-Hua & Li, Sheng-Nan & Yu, Chang-Rui, 2018. "A generative model for the collective attention of the Chinese stock market investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1175-1182.
    35. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    36. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    37. Chen, Qitong & Zhu, Huiming & Yu, Dongwei & Hau, Liya, 2022. "How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    38. Li, Xiao, 2020. "When financial literacy meets textual analysis: A conceptual review," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    39. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    40. Li, Sufang & Zhang, Hu & Yuan, Di, 2019. "Investor attention and crude oil prices: Evidence from nonlinear Granger causality tests," Energy Economics, Elsevier, vol. 84(C).
    41. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    42. Al-Nasseri, Alya & Menla Ali, Faek, 2018. "What does investors' online divergence of opinion tell us about stock returns and trading volume?," Journal of Business Research, Elsevier, vol. 86(C), pages 166-178.
    43. Piñeiro-Chousa, Juan & López-Cabarcos, M. Ángeles & Šević, Aleksandar, 2022. "Green bond market and Sentiment: Is there a switching Behaviour?," Journal of Business Research, Elsevier, vol. 141(C), pages 520-527.
    44. Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020. "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers 202022, University of Pretoria, Department of Economics.
    45. Loutfi, Ahmad Amine, 2024. "Renewable energy stock prices forecast using environmental television newscasts investors’ sentiment," Renewable Energy, Elsevier, vol. 230(C).
    46. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    47. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.
    48. Iqbal, Javid & Saeed, Abubakr, 2023. "Managerial sentiments, non-performing loans, and banks financial performance: A causal mediation approach," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).

  69. Shen, Dehua & Zhang, Wei & Xiong, Xiong & Li, Xiao & Zhang, Yongjie, 2016. "Trading and non-trading period Internet information flow and intraday return volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 519-524.

    Cited by:

    1. Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
    2. Senarathne Chamil W. & Šoja Tijana, 2019. "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(3), pages 35-45, September.
    3. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
    4. Patrick Houlihan & Germán G. Creamer, 2021. "Leveraging Social Media to Predict Continuation and Reversal in Asset Prices," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 433-453, February.
    5. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.
    6. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "Daily happiness and stock returns: Some international evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 201-209.
    7. Ahadzie, Richard Mawulawoe & Jeyasreedharan, Nagaratnam, 2020. "Trading volume and realized higher-order moments in the Australian stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
    8. Gao, Yang & Wang, Yaojun & Wang, Chao & Liu, Chao, 2018. "Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 802-811.
    9. Senarathne, Chamil W., . "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(01).
    10. Dehua Shen & Yongjie Zhang & Xiong Xiong & Wei Zhang, 2017. "Baidu index and predictability of Chinese stock returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-8, December.
    11. Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei, 2016. "Market reaction to internet news: Information diffusion and price pressure," Economic Modelling, Elsevier, vol. 56(C), pages 43-49.
    12. Zhen-Hua Yang & Jian-Guo Liu & Chang-Rui Yu & Jing-Ti Han, 2017. "Quantifying the effect of investors’ attention on stock market," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-16, May.
    13. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    14. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    15. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
    16. Patrick Houlihan & Germán G. Creamer, 2017. "Can Sentiment Analysis and Options Volume Anticipate Future Returns?," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 669-685, December.
    17. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
    18. Jie Yin & Xiang-min Zheng & Ruey-Chyn Tsaur, 2019. "Occurrence mechanism and coping paths of accidents of highly aggregated tourist crowds based on system dynamics," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-16, September.
    19. Ying Wang & Hongwei Zhang & Wang Gao & Cai Yang, 2023. "Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic: Evidence from the time and frequency domains," Tourism Economics, , vol. 29(2), pages 460-487, March.
    20. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    21. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    22. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    23. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "R2 and idiosyncratic volatility: Which captures the firm-specific return variation?," Economic Modelling, Elsevier, vol. 55(C), pages 298-304.
    24. Shen, Dehua & Li, Xiao & Zhang, Wei, 2017. "Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks," Finance Research Letters, Elsevier, vol. 23(C), pages 210-216.
    25. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    26. Clements, A.E. & Liao, Y., 2020. "Firm-specific information and systemic risk," Economic Modelling, Elsevier, vol. 90(C), pages 480-493.
    27. Lahmiri, Salim, 2017. "Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 405-414.

  70. Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 70-74.

    Cited by:

    1. Senarathne Chamil W. & Šoja Tijana, 2019. "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(3), pages 35-45, September.
    2. Lin, Shen & Ren, Da & Zhang, Wei & Zhang, Yongjie & Shen, Dehua, 2016. "Network interdependency between social media and stock trading activities: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 305-312.
    3. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
    4. Patrick Houlihan & Germán G. Creamer, 2021. "Leveraging Social Media to Predict Continuation and Reversal in Asset Prices," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 433-453, February.
    5. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    6. Gang Chu & John W. Goodell & Xiao Li & Yongjie Zhang, 2023. "Understanding short‐term price pressure from index reconstitutions: Evidence from the CSI 300," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2421-2440, June.
    7. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.
    8. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "Daily happiness and stock returns: Some international evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 201-209.
    9. Zhang, Yuzhao & Liu, Haifei, 2021. "Stock market reactions to social media: Evidence from WeChat recommendations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
    10. Gao, Yang & Wang, Yaojun & Wang, Chao & Liu, Chao, 2018. "Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 802-811.
    11. Senarathne, Chamil W., . "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(01).
    12. Dehua Shen & Yongjie Zhang & Xiong Xiong & Wei Zhang, 2017. "Baidu index and predictability of Chinese stock returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-8, December.
    13. Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei, 2016. "Market reaction to internet news: Information diffusion and price pressure," Economic Modelling, Elsevier, vol. 56(C), pages 43-49.
    14. Zhen-Hua Yang & Jian-Guo Liu & Chang-Rui Yu & Jing-Ti Han, 2017. "Quantifying the effect of investors’ attention on stock market," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-16, May.
    15. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    16. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    17. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
    18. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    19. Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani, 2016. "Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics," PLOS ONE, Public Library of Science, vol. 11(1), pages 1-14, January.
    20. Patrick Houlihan & Germán G. Creamer, 2017. "Can Sentiment Analysis and Options Volume Anticipate Future Returns?," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 669-685, December.
    21. Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
    22. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
    23. Jin, Xi & Shen, Dehua & Zhang, Wei, 2016. "Has microblogging changed stock market behavior? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 151-156.
    24. Li, Xiao & Shen, Dehua & Xue, Mei & Zhang, Wei, 2017. "Daily happiness and stock returns: The case of Chinese company listed in the United States," Economic Modelling, Elsevier, vol. 64(C), pages 496-501.
    25. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    26. Moussa, Faten & BenOuda, Olfa & Delhoumi, Ezzeddine, 2017. "The use of open source internet to analysis and predict stock market trading volume," Research in International Business and Finance, Elsevier, vol. 41(C), pages 399-411.
    27. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    28. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    29. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "R2 and idiosyncratic volatility: Which captures the firm-specific return variation?," Economic Modelling, Elsevier, vol. 55(C), pages 298-304.
    30. Shen, Dehua & Li, Xiao & Zhang, Wei, 2017. "Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks," Finance Research Letters, Elsevier, vol. 23(C), pages 210-216.
    31. Shen, Dehua & Zhang, Wei & Xiong, Xiong & Li, Xiao & Zhang, Yongjie, 2016. "Trading and non-trading period Internet information flow and intraday return volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 519-524.
    32. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    33. Xiong Xiong & Zhang Jin & Jin Xi & Feng Xu, 2016. "Review on Financial Innovations in Big Data Era," Journal of Systems Science and Information, De Gruyter, vol. 4(6), pages 489-504, December.
    34. Clements, A.E. & Liao, Y., 2020. "Firm-specific information and systemic risk," Economic Modelling, Elsevier, vol. 90(C), pages 480-493.
    35. Lahmiri, Salim, 2017. "Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 405-414.
    36. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.

  71. Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013. "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, vol. 33(C), pages 613-619.

    Cited by:

    1. Tihana Škrinjarić, 2019. "Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets," IJFS, MDPI, vol. 7(4), pages 1-30, October.
    2. Dehua Shen & Xiao Li & Andrea Teglio & Wei Zhang, 2016. "The impact of information-based familiarity on the stock market," Working Papers 2016/08, Economics Department, Universitat Jaume I, Castellón (Spain).
    3. Fan, Xiaoqian & Yuan, Ying & Zhuang, Xintian & Jin, Xiu, 2017. "Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 323-333.
    4. Lin, Shen & Ren, Da & Zhang, Wei & Zhang, Yongjie & Shen, Dehua, 2016. "Network interdependency between social media and stock trading activities: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 305-312.
    5. Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
    6. Christophe Desagre & Catherine D'Hondt, 2020. "Googlization and retail investors' trading activity," LIDAM Discussion Papers LFIN 2020004, Université catholique de Louvain, Louvain Finance (LFIN).
    7. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.
    8. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and stock return: Evidence from US," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    9. Gang Chu & John W. Goodell & Xiao Li & Yongjie Zhang, 2023. "Understanding short‐term price pressure from index reconstitutions: Evidence from the CSI 300," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2421-2440, June.
    10. Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei, 2017. "Investor sentiment and stock returns: Evidence from provincial TV audience rating in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 288-294.
    11. Goodell, John W. & Kumar, Satish & Li, Xiao & Pattnaik, Debidutta & Sharma, Anuj, 2022. "Foundations and research clusters in investor attention: Evidence from bibliometric and topic modelling analysis," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 511-529.
    12. Xiaolei Li & Jian Li & Ping Qing & Wuyang Hu, 2021. "COVID-19 and the Change in Lifestyle: Bodyweight, Time Allocation, and Food Choices," IJERPH, MDPI, vol. 18(19), pages 1-14, October.
    13. Lin, Yong & Wang, Renyu & Gong, Xingyue & Jia, Guozhu, 2022. "Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: Evidence from Baidu Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    14. Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.
    15. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "Daily happiness and stock returns: Some international evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 201-209.
    16. Chen, Conghui & Liu, Lanlan, 2022. "How effective is China's cryptocurrency trading ban?," Finance Research Letters, Elsevier, vol. 46(PB).
    17. Songtao Wu & Jianmin He & Chao Wang, 2017. "Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity," Discrete Dynamics in Nature and Society, Hindawi, vol. 2017, pages 1-15, September.
    18. Tony Chieh‐Tse Hou, 2019. "The relationship between corporate social responsibility and sustainable financial performance: firm‐level evidence from Taiwan," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 26(1), pages 19-28, January.
    19. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    20. Zhang, Yuzhao & Liu, Haifei, 2021. "Stock market reactions to social media: Evidence from WeChat recommendations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
    21. Lee, Chien-Chiang & Chang, Chi-Hung & Chen, Mei-Ping, 2015. "Industry co-movements of American depository receipts: Evidences from the copula approaches," Economic Modelling, Elsevier, vol. 46(C), pages 301-314.
    22. Li, Xiao & Shen, Dehua & Zhang, Wei, 2018. "Do Chinese internet stock message boards convey firm-specific information?," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 1-14.
    23. Gao, Yang & Wang, Yaojun & Wang, Chao & Liu, Chao, 2018. "Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 802-811.
    24. Zhang, Yongjie & Chu, Gang & Shen, Dehua, 2021. "The role of investor attention in predicting stock prices: The long short-term memory networks perspective," Finance Research Letters, Elsevier, vol. 38(C).
    25. Dehua Shen & Yongjie Zhang & Xiong Xiong & Wei Zhang, 2017. "Baidu index and predictability of Chinese stock returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-8, December.
    26. Chu, Gang & Li, Xiao & Zhang, Yongjie, 2022. "Information demand and net selling around earnings announcement," Research in International Business and Finance, Elsevier, vol. 59(C).
    27. Ren-jie Han & Shi-yuan Liu & Qian Li, 2019. "Do Chinese Internet Users Exist Heterogeneity in Search Behavior?," Papers 1911.00715, arXiv.org.
    28. Aouadi, Amal & Arouri, Mohamed & Roubaud, David, 2018. "Information demand and stock market liquidity: International evidence," Economic Modelling, Elsevier, vol. 70(C), pages 194-202.
    29. Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei, 2016. "Market reaction to internet news: Information diffusion and price pressure," Economic Modelling, Elsevier, vol. 56(C), pages 43-49.
    30. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
    31. Yongjie Zhang & Yue Li & Dehua Shen, 2022. "Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(1), pages 123-137, March.
    32. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    33. Zhang, Xiaotao & Li, Guoran & Li, Yishuo & Zou, Gaofeng & Wu, Ji George, 2023. "Which is more important in stock market forecasting: Attention or sentiment?," International Review of Financial Analysis, Elsevier, vol. 89(C).
    34. Zhen-Hua Yang & Jian-Guo Liu & Chang-Rui Yu & Jing-Ti Han, 2017. "Quantifying the effect of investors’ attention on stock market," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-16, May.
    35. Tong Liu & Guojun He & Alexis Lau, 2018. "Avoidance behavior against air pollution: evidence from online search indices for anti-PM2.5 masks and air filters in Chinese cities," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 20(2), pages 325-363, April.
    36. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    37. Desagre, Christophe & D’Hondt, Catherine, 2021. "Googlization and retail trading activity," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    38. Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua, 2017. "The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 535-541.
    39. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
    40. Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang, 2022. "Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction," Annals of Operations Research, Springer, vol. 318(1), pages 103-128, November.
    41. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
    42. Zhao, Ruwei, 2020. "Quantifying the cross sectional relation of daily happiness sentiment and return skewness: Evidence from US industries," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    43. Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani, 2016. "Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics," PLOS ONE, Public Library of Science, vol. 11(1), pages 1-14, January.
    44. Ana Brochado, 2016. "Investor attention and Portuguese stock market volatility: We’ll google it for you!," EcoMod2016 9345, EcoMod.
    45. Chen, Xing & Diao, Xundi & Wu, Chongfeng, 2022. "Heterogeneous investor attention and post earnings announcement drift: Evidence from China," Economic Modelling, Elsevier, vol. 110(C).
    46. Patrick Houlihan & Germán G. Creamer, 2017. "Can Sentiment Analysis and Options Volume Anticipate Future Returns?," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 669-685, December.
    47. Li, Xin & Ma, Jian & Wang, Shouyang & Zhang, Xun, 2015. "How does Google search affect trader positions and crude oil prices?," Economic Modelling, Elsevier, vol. 49(C), pages 162-171.
    48. Hu, Yitong & Li, Xiao & Goodell, John W. & Shen, Dehua, 2021. "Investor attention shocks and stock co-movement: Substitution or reinforcement?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    49. Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei, 2017. "Does microblogging convey firm-specific information? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 621-626.
    50. Chun Li & Xingwu Duan, 2020. "Exploration of Urban Interaction Features Based on the Cyber Information Flow of Migrant Concern: A Case Study of China’s Main Urban Agglomerations," IJERPH, MDPI, vol. 17(12), pages 1-20, June.
    51. Zhao, Ruwei, 2020. "Quantifying the correlation of media coverage and stock price crash risk: A panel study from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    52. Jin, Xi & Shen, Dehua & Zhang, Wei, 2016. "Has microblogging changed stock market behavior? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 151-156.
    53. Yingxiu Zhao & Wei Zhang & Xiangyu Kong, 2019. "Dynamic Cross-Correlations between Participants’ Attentions to P2P Lending and Offline Loan in the Private Lending Market," Complexity, Hindawi, vol. 2019, pages 1-8, December.
    54. Li, Xiao & Shen, Dehua & Xue, Mei & Zhang, Wei, 2017. "Daily happiness and stock returns: The case of Chinese company listed in the United States," Economic Modelling, Elsevier, vol. 64(C), pages 496-501.
    55. Zhang, Bing & Wang, Yudong, 2015. "Limited attention of individual investors and stock performance: Evidence from the ChiNext market," Economic Modelling, Elsevier, vol. 50(C), pages 94-104.
    56. Gupta, Kartick & Banerjee, Rajabrata, 2019. "Does OPEC news sentiment influence stock returns of energy firms in the United States?," Energy Economics, Elsevier, vol. 77(C), pages 34-45.
    57. Gao, Yang & Zhao, Kun & Wang, Chao & Liu, Chao, 2020. "The dynamic relationship between internet attention and stock market liquidity: A thermal optimal path method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    58. Xiong, Xiong & Bian, Yuxiang & Shen, Dehua, 2018. "The time-varying correlation between policy uncertainty and stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 413-419.
    59. Ziyao Wang & Yufei Xia & Yating Fu & Ying Liu, 2023. "Volatility Spillover Dynamics and Determinants between FinTech and Traditional Financial Industry: Evidence from China," Mathematics, MDPI, vol. 11(19), pages 1-23, September.
    60. Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie, 2018. "Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 928-934.
    61. Lei Cong & Miranda Mirosa & William Kaye-Blake & Phil Bremer, 2020. "Immune-Boosting Functional Foods: A Potential Remedy for Chinese Consumers Living Under Polluted Air," Business and Management Studies, Redfame publishing, vol. 6(1), pages 1227-1227, December.
    62. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
    63. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "R2 and idiosyncratic volatility: Which captures the firm-specific return variation?," Economic Modelling, Elsevier, vol. 55(C), pages 298-304.
    64. Zhang, Zuochao & Shen, Dehua, 2024. "Firm-specific new media sentiment and price synchronicity," Research in International Business and Finance, Elsevier, vol. 69(C).
    65. Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo, 2024. "Herding towards carbon neutrality: The role of investor attention," International Review of Financial Analysis, Elsevier, vol. 91(C).
    66. Shen, Dehua & Li, Xiao & Zhang, Wei, 2017. "Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks," Finance Research Letters, Elsevier, vol. 23(C), pages 210-216.
    67. Xu, Kewei & Xiong, Xiong & Li, Xiao, 2021. "The maturity effect of stock index futures: Speculation or carry arbitrage?," Research in International Business and Finance, Elsevier, vol. 58(C).
    68. Wei Zhang & Pengfei Wang, 2020. "Investor attention and the pricing of cryptocurrency market," Evolutionary and Institutional Economics Review, Springer, vol. 17(2), pages 445-468, July.
    69. Shen, Dehua & Zhang, Wei & Xiong, Xiong & Li, Xiao & Zhang, Yongjie, 2016. "Trading and non-trading period Internet information flow and intraday return volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 519-524.
    70. Zhao, Ruwei & Xiong, Xiong & Shen, Dehua, 2018. "Investor attention and performance of IPO firms: Evidence from online searches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 342-348.
    71. Xiong Xiong & Zhang Jin & Jin Xi & Feng Xu, 2016. "Review on Financial Innovations in Big Data Era," Journal of Systems Science and Information, De Gruyter, vol. 4(6), pages 489-504, December.
    72. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.
    73. Clements, A.E. & Liao, Y., 2020. "Firm-specific information and systemic risk," Economic Modelling, Elsevier, vol. 90(C), pages 480-493.
    74. Sun, Qingqing & Chen, Hong & Long, Ruyin & Chen, Jiawei, 2024. "Integrated prediction of carbon price in China based on heterogeneous structural information and wall-value constraints," Energy, Elsevier, vol. 306(C).
    75. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.
    76. Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 70-74.
    77. Wang, Chen & Xiong, Xiong & Shen, Dehua, 2022. "Tail risks, firm characteristics, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.