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Financial market volatility, macroeconomic fundamentals and investor sentiment

Citations

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Cited by:

  1. Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
  2. Guan-Chun Liu & Chien-Chiang Lee, 2019. "The relationship between insurance and banking sectors: does financial structure matter?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(4), pages 569-594, October.
  3. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
  4. Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022. "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1185-1208.
  5. Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2021. "Stock market volatility and jumps in times of uncertainty," Journal of International Money and Finance, Elsevier, vol. 113(C).
  6. Huber, Christoph & Huber, Jürgen & Kirchler, Michael, 2022. "Volatility shocks and investment behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 56-70.
  7. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
  8. Bouteska, Ahmed & Ha, Le Thanh & Bhuiyan, Faruk & Sharif, Taimur & Abedin, Mohammad Zoynul, 2024. "Contagion between investor sentiment and green bonds in China during the global uncertainties," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 469-484.
  9. Lien, Donald & Hung, Pi-Hsia & Lo, Hsiang-Yu, 2022. "Order Choices: An Intraday Analysis of the Taiwan Stock Exchange," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  10. Hong Shen & Qi Pan, 2022. "Risk Contagion between Commodity Markets and the Macro Economy during COVID-19: Evidence from China," Sustainability, MDPI, vol. 15(1), pages 1-20, December.
  11. Antonios Persakis, 2024. "The impact of climate policy uncertainty on ESG performance, carbon emission intensity and firm performance: evidence from Fortune 1000 firms," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(9), pages 24031-24081, September.
  12. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
  13. Haritha P H & Abdul Rishad, 2020. "An empirical examination of investor sentiment and stock market volatility: evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-15, December.
  14. Huber, Christoph & Huber, Jürgen & Kirchler, Michael, 2021. "Market shocks and professionals’ investment behavior – Evidence from the COVID-19 crash," Journal of Banking & Finance, Elsevier, vol. 133(C).
  15. Yang, Tianle & Zhou, Fangxing & Du, Min & Du, Qunyang & Zhou, Shirong, 2023. "Fluctuation in the global oil market, stock market volatility, and economic policy uncertainty: A study of the US and China," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 377-387.
  16. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
  17. Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
  18. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  19. Agoraki, Maria-Eleni K. & Aslanidis, Nektarios & Kouretas, Georgios P., 2022. "U.S. banks’ lending, financial stability, and text-based sentiment analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 73-90.
  20. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2023. "The effect of uncertainty on stock market volatility and correlation," Journal of Banking & Finance, Elsevier, vol. 154(C).
  21. 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).
  22. Li, Yulin, 2021. "Investor sentiment and sovereign bonds," Journal of International Money and Finance, Elsevier, vol. 115(C).
  23. 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.
  24. A. Hachicha & F. Hachicha, 2021. "Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 647-673, February.
  25. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
  26. Mehwish Aziz Khan & Eatzaz Ahmad, 2018. "Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan," Sustainability, MDPI, vol. 11(1), pages 1-20, December.
  27. Lin, Tiantian & Liu, Dehong & Zhang, Lili & Lung, Peter, 2019. "The information content of realized volatility of sector indices in China’s stock market," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 625-640.
  28. 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).
  29. Anton A. Gerunov, 2022. "Performance of 109 Machine Learning Algorithms across Five Forecasting Tasks: Employee Behavior Modeling, Online Communication, House Pricing, IT Support and Demand Planning," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 15-43.
  30. Feng He & Libo Yin, 2021. "Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 945-962, September.
  31. Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
  32. Gong, Xue & Zhang, Weiguo & Wang, Junbo & Wang, Chao, 2022. "Investor sentiment and stock volatility: New evidence," International Review of Financial Analysis, Elsevier, vol. 80(C).
  33. B. De Backer, 2018. "Does financial market volatility influence the real economy?," Economic Review, National Bank of Belgium, issue iv, pages 107-124, december.
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