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The relationships between sentiment, returns and volatility

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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. Dash, Saumya Ranjan & Maitra, Debasish, 2018. "Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach," Finance Research Letters, Elsevier, vol. 26(C), pages 32-39.
  3. Dragos Stefan Oprea & Laura Brad, 2014. "Investor Sentiment and Stock Returns: Evidence from Romania," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 19-25, April.
  4. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
  5. Kumari, Jyoti, 2019. "Investor sentiment and stock market liquidity: Evidence from an emerging economy," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 166-180.
  6. Lux, Thomas, 2008. "Sentiment dynamics and stock returns: the case of the German stock market," Kiel Working Papers 1470, Kiel Institute for the World Economy (IfW Kiel).
  7. Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
  8. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  9. Jozef Barunik & Jiri Kukacka, 2015. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 959-973, June.
  10. Riso, Luigi & Vacca, Gianmarco, 2024. "Sentiment dynamics and volatility: A study based on GARCH-MIDAS and machine learning," Finance Research Letters, Elsevier, vol. 62(PB).
  11. Song, Ziyu & Gong, Xiaomin & Zhang, Cheng & Yu, Changrui, 2023. "Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 528-545.
  12. Hu, Zongyi & Li, Chao, 2015. "Investor Sentiment and Irrational Speculative Bubble Model," MPRA Paper 62108, University Library of Munich, Germany.
  13. Carla Fernandes & Paulo M. Gama & Elisabete Vieira, 2016. "Does local and Euro area sentiment matter for sovereign debt markets? Evidence from a bailout country," Applied Economics, Taylor & Francis Journals, vol. 48(9), pages 816-834, February.
  14. Dash, Saumya Ranjan & Maitra, Debasish, 2019. "The relationship between emerging and developed market sentiment: A wavelet-based time-frequency analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 135-150.
  15. repec:ers:journl:v:v:y:2017:i:4:p:104-132 is not listed on IDEAS
  16. Omar Esqueda & Yongli Luo & Dave Jackson, 2015. "The linkage between the U.S. “fear index” and ADR premiums under non-frictionless stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 541-556, July.
  17. Gao, Bin & Liu, Xihua, 2020. "Intraday sentiment and market returns," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 48-62.
  18. Schmitz, Philipp & Glaser, Markus & Weber, Martin, 2006. "Individual investor sentiment and stock returns - what do we learn from warrant traders?," Papers 06-12, Sonderforschungsbreich 504.
  19. Maitra, Debasish & Dash, Saumya Ranjan, 2017. "Sentiment and stock market volatility revisited: A time–frequency domain approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 15(C), pages 74-91.
  20. Ford, Jansson M. & Gehricke, Sebastian A. & Zhang, Jin E., 2022. "Option traders are concerned about climate risks: ESG ratings and short-term sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).
  21. Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2020. "The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis," International Economics, Elsevier, vol. 162(C), pages 110-124.
  22. Dragos Stefan Oprea, 2014. "Does Investor Sentiment Matter in Post-Communist East European Stock Markets?," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(8), pages 356-366, August.
  23. Gaies, Brahim & Nakhli, Mohamed Sahbi & Ayadi, Rim & Sahut, Jean-Michel, 2022. "Exploring the causal links between investor sentiment and financial instability: A dynamic macro-financial analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 290-303.
  24. Mariem Talbi & Amel Ben Halima, 2019. "Global Contagion of Investor Sentiment during the US Subprime Crisis: The Case of the USA and the Region of Latin America," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 163-174.
  25. Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wu, Chih-Chiang, 2018. "Investor sentiment and evaporating liquidity during the financial crisis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 21-36.
  26. Lux, Thomas, 2009. "Mass psychology in action: identification of social interaction effects in the German stock market," Kiel Working Papers 1514, Kiel Institute for the World Economy (IfW Kiel).
  27. 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.
  28. Ahmed, Bouteska, 2020. "Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  29. repec:hur:ijaraf:v:4:y:2014:i:2:p:23-29 is not listed on IDEAS
  30. Schmeling, Maik, 2007. "Institutional and individual sentiment: Smart money and noise trader risk?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 127-145.
  31. Stefan Abrantes Costa & Pedro Manuel Nogueira Reis & Antonio Pedro Soares Pinto, 2020. "Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 13-27, October.
  32. 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).
  33. Phan, Thi Nha Truc & Bertrand, Philippe & Phan, Hong Hai & Vo, Xuan Vinh, 2023. "The role of investor behavior in emerging stock markets: Evidence from Vietnam," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 367-376.
  34. 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.
  35. Hirose, Takehide & Kato, Hideaki Kiyoshi & Bremer, Marc, 2009. "Can margin traders predict future stock returns in Japan?," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 41-57, January.
  36. Yang, Yan & Copeland, Laurence, 2014. "The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility," Cardiff Economics Working Papers E2014/12, Cardiff University, Cardiff Business School, Economics Section.
  37. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
  38. Yang, Chunpeng & Zhou, Liyun, 2015. "Sentiment approach to underestimation and overestimation pricing model," Economic Modelling, Elsevier, vol. 51(C), pages 280-288.
  39. Ftiti, Zied & Hadhri, Sinda, 2019. "Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 40-55.
  40. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Bonsu, Christiana Osei & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "The effects of public sentiments and feelings on stock market behavior: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 443-472.
  41. Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
  42. Chung Baek, 2016. "Stock prices, dividends, earnings, and investor sentiment," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1043-1061, November.
  43. Yamini Yadav & Pramod Kumar Naik, 2024. "Investors’ Irrational Sentiment and Stock Market Returns: A Quantile Regression Approach Using Indian Data," Business Perspectives and Research, , vol. 12(1), pages 45-64, January.
  44. Junmao Chiu & Huimin Chung & Keng-Yu Ho, 2014. "Fear Sentiment, Liquidity, and Trading Behavior: Evidence from the Index ETF Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-25.
  45. Liang, Chao & Tang, Linchun & Li, Yan & Wei, Yu, 2020. "Which sentiment index is more informative to forecast stock market volatility? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 71(C).
  46. 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.
  47. 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).
  48. Barunik, J. & Vosvrda, M., 2009. "Can a stochastic cusp catastrophe model explain stock market crashes?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(10), pages 1824-1836, October.
  49. Kostopoulos, Dimitrios & Meyer, Steffen, 2018. "Disentangling investor sentiment: Mood and household attitudes towards the economy," Journal of Economic Behavior & Organization, Elsevier, vol. 155(C), pages 28-78.
  50. Singer, Nico & Dreher, Frank & Laser, Saskia, 2012. "Published stock recommendations as institutional investor sentiment in the near-term stock market," Thuenen-Series of Applied Economic Theory 121, University of Rostock, Institute of Economics.
  51. Yawen Hudson & Christopher J. Green, 2013. "Born in the USA? Contagious investor sentiment and UK equity returns," Discussion Paper Series 2013_13, Department of Economics, Loughborough University, revised Nov 2013.
  52. Ameet Kumar Banerjee & H. K. Pradhan, 2020. "Order Flows, Investor Sentiments and Feedback Trade in Index Futures Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(4), pages 767-782, December.
  53. Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
  54. (Jeremy) Chiu, Ching-wai & Harris, Richard D.F. & Stoja, Evarist & Chin, Michael, 2018. "Financial market Volatility, macroeconomic fundamentals and investor Sentiment," Journal of Banking & Finance, Elsevier, vol. 92(C), pages 130-145.
  55. Yu, Xing & Shen, Xilin & Li, Yanyan & Gong, Xue, 2023. "Selective hedging strategies for crude oil futures based on market state expectations," Global Finance Journal, Elsevier, vol. 57(C).
  56. Priti Dubey & Rishika Shankar, 2020. "Determinants of the Commodity Futures Market Performance: An Indian Perspective," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 21(2), pages 239-257, September.
  57. Maria Elisabete Duante Neves, 2017. "Payout and Firm's Catering," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 104-132.
  58. Wang, Wenzhao & Duxbury, Darren, 2021. "Institutional investor sentiment and the mean-variance relationship: Global evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 415-441.
  59. Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2018. "Predicting Stock Returns And Volatility With Investor Sentiment Indices: A Reconsideration Using A Nonparametric Causality†In†Quantiles Test," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 74-87, January.
  60. Zghal, Imen & Ben Hamad, Salah & Eleuch, Hichem & Nobanee, Haitham, 2020. "The effect of market sentiment and information asymmetry on option pricing," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  61. 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).
  62. Wang, Wenzhao, 2018. "Investor sentiment and the mean-variance relationship: European evidence," Research in International Business and Finance, Elsevier, vol. 46(C), pages 227-239.
  63. D. Schneller & S. Heiden & M. Heiden & A. Hamid, 2018. "Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility," German Economic Review, Verein für Socialpolitik, vol. 19(2), pages 209-236, May.
  64. Gao, Bin & Yang, Chunpeng, 2017. "Forecasting stock index futures returns with mixed-frequency sentiment," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 69-83.
  65. Chunpeng Yang & Jun Chi, 2023. "Investor sentiment and volatility of exchange‐traded funds: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 668-680, January.
  66. Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
  67. Chau, Frankie & Deesomsak, Rataporn & Koutmos, Dimitrios, 2016. "Does investor sentiment really matter?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 221-232.
  68. Turkmen Muldur Gozde & Kandir Serkan Yılmaz & Onal Yıldırım Beyazıt, 2019. "Investor Sentiment and Speculative Bond Yield Spreads," Foundations of Management, Sciendo, vol. 11(1), pages 177-186, January.
  69. Zhou, Liyun & Zhang, Rixin & Huang, Jialiang, 2019. "Investor trading behavior on agricultural future prices," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 365-379.
  70. Weiguo Zhang & Xue Gong & Chao Wang & Xin Ye, 2021. "Predicting stock market volatility based on textual sentiment: A nonlinear analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1479-1500, December.
  71. 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.
  72. John Garvey & Martin Mullins, 2008. "Contemporary Terrorism: Risk Perception in the London Options Market," Risk Analysis, John Wiley & Sons, vol. 28(1), pages 151-160, February.
  73. 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).
  74. Rouatbi, Wael & Demir, Ender & Kizys, Renatas & Zaremba, Adam, 2021. "Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world," International Review of Financial Analysis, Elsevier, vol. 77(C).
  75. Corredor, Pilar & Ferrer, Elena & Santamaria, Rafael, 2013. "Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 572-591.
  76. Ammari, Aymen & Chebbi, Kaouther & Ben Arfa, Nouha, 2023. "How does the COVID-19 pandemic shape the relationship between Twitter sentiment and stock liquidity of US firms?," International Review of Financial Analysis, Elsevier, vol. 88(C).
  77. Salhin, Ahmed & Sherif, Mohamed & Jones, Edward, 2016. "Managerial sentiment, consumer confidence and sector returns," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 24-38.
  78. Ahmed Bouteska & Taimur Sharif & Mohammad Zoynul Abedin, 2024. "Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI‐listed firms," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3487-3509, July.
  79. Pok, Wei Fong & Humayun Kabir, M. & Young, Martin, 2022. "Investor sentiment and mean-variance relation: Evidence from emerging futures markets," Finance Research Letters, Elsevier, vol. 46(PB).
  80. Cai, Wenwu & Lu, Jing, 2019. "Investors’ financial attention frequency and trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  81. Simões Vieira, Elisabete F. & Valente Pereira, Márcia S., 2015. "Herding behaviour and sentiment: Evidence in a small European market," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 18(1), pages 78-86.
  82. 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).
  83. Kim Kaivanto & Peng Zhang, 2019. "Investor Sentiment as a Predictor of Market Returns," Working Papers 268005798, Lancaster University Management School, Economics Department.
  84. Nico Singer & Saskia Laser & Frank Dreher, 2013. "Published stock recommendations as investor sentiment in the near-term stock market," Empirical Economics, Springer, vol. 45(3), pages 1233-1249, December.
  85. Nagarajan, Thirukumaran & Malipeddi, Koteswararao, 2009. "Effects of market sentiment in index option pricing: a study of CNX NIFTY index option," MPRA Paper 17943, University Library of Munich, Germany.
  86. Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020. "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 334-357.
  87. Eric. W. K. See-To & Yang Yang, 2017. "Market sentiment dispersion and its effects on stock return and volatility," Electronic Markets, Springer;IIM University of St. Gallen, vol. 27(3), pages 283-296, August.
  88. K.K. Moseki & K.S. Madhava Rao, 2017. "Analysing stock market data—Market sentiment approach and its measures," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1367147-136, January.
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