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Noise trading and stock market volatility

Citations

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Cited by:

  1. Saade, Samer, 2015. "Investor sentiment and the underperformance of technology firms initial public offerings," Research in International Business and Finance, Elsevier, vol. 34(C), pages 205-232.
  2. 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).
  3. Syed Ali Raza, Muhammad Mansoor, Khalid M. Iraqi, 2019. "Influence of Investor Sentiments on Stock Market Capitalization of Different Economic Sectors in a Developing Economy: Evidence from Pakistan," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(1), pages 31-43, March.
  4. Zhang, Chris H. & Frijns, Bart, 2019. "Noise trading and informational efficiency," EconStor Preprints 198037, ZBW - Leibniz Information Centre for Economics.
  5. 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.
  6. 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.
  7. Zhu, PengCheng, 2011. "Persistent performance and interaction effects in sequential cross-border mergers and acquisitions," Journal of Multinational Financial Management, Elsevier, vol. 21(1), pages 18-39, February.
  8. Elroi Hadad & Haim Kedar-Levy, 2022. "The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds," Papers 2208.01538, arXiv.org.
  9. Shachmurove, Yochanan & Vulanovic, Milos, 2017. "U.S. SPACs with a focus on China," Journal of Multinational Financial Management, Elsevier, vol. 39(C), pages 1-18.
  10. Yıldırım-Karaman, Seçil, 2018. "Uncertainty in financial markets and business cycles," Economic Modelling, Elsevier, vol. 68(C), pages 329-339.
  11. 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).
  12. Luisanna Cocco & Michele Marchesi, 2016. "Modeling and Simulation of the Economics of Mining in the Bitcoin Market," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-31, October.
  13. Muhammad Saeed & Ijaz Ahmad & Muhammad Ahmad Usman, 2021. "Do the stocks' returns and volatility matter under the COVID-19 pandemic? A Case Study of Pakistan Stock Exchange," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 3(1), pages 13-26, june.
  14. Rob Hayward, 2018. "Foreign Exchange Speculation: An Event Study," IJFS, MDPI, vol. 6(1), pages 1-13, February.
  15. Li-Chen Cheng & Wei-Ting Lu & Benjamin Yeo, 2023. "Predicting abnormal trading behavior from internet rumor propagation: a machine learning approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
  16. Wei-han Liu, 2019. "National culture effects on stock market volatility level," Empirical Economics, Springer, vol. 57(4), pages 1229-1253, October.
  17. 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.
  18. Aktham Maghyereh & Hussein Abdoh, 2022. "Global financial crisis versus COVID‐19: Evidence from sentiment analysis," International Finance, Wiley Blackwell, vol. 25(2), pages 218-248, August.
  19. Kim, Soo-Hyun & Kang, Hyoung-Goo, 2015. "Tactical Asset Allocation Using Investors' Sentiment," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(2), pages 177-195, December.
  20. Emrah İ. Çevik & Turhan Korkmaz & Erdal Atukeren, 2012. "Business confidence and stock returns in the USA: a time-varying Markov regime-switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 22(4), pages 299-312, February.
  21. Zhen Peng & Changsheng Hu, 2020. "Leveraged Trading, Irrational Sentiment and Sustainability in the Stock Market: Evidence from China," Sustainability, MDPI, vol. 12(4), pages 1-18, February.
  22. 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.
  23. 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.
  24. Hadad, Elroi & Kedar-Levy, Haim, 2024. "The impact of retail investor sentiment on the conditional volatility of stocks and bonds: Evidence from the Tel-Aviv stock exchange," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1303-1313.
  25. Wai Khuen Cheng & Khean Thye Bea & Steven Mun Hong Leow & Jireh Yi-Le Chan & Zeng-Wei Hong & Yen-Lin Chen, 2022. "A Review of Sentiment, Semantic and Event-Extraction-Based Approaches in Stock Forecasting," Mathematics, MDPI, vol. 10(14), pages 1-20, July.
  26. 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.
  27. Utku Uygur & Oktay Taş, 2014. "The impacts of investor sentiment on returns and conditional volatility of international stock markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(3), pages 1165-1179, May.
  28. 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).
  29. Díaz, Fernando & Henríquez, Pablo A. & Winkelried, Diego, 2022. "Stock market volatility and the COVID-19 reproductive number," Research in International Business and Finance, Elsevier, vol. 59(C).
  30. Muhammad MOHSIN & Sobia NASEEM & Larisa IVAȘCU & Lucian-Ionel CIOCA & Muddassar SARFRAZ & Nicolae Cristian STĂNICĂ, 2021. "Gauging the Effect of Investor Sentiment on Cryptocurrency Market: An Analysis of Bitcoin Currency," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 87-102, December.
  31. Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015. "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 89-100.
  32. Christian, Mueller-Kademann, 2009. "Puzzle solver," MPRA Paper 19852, University Library of Munich, Germany.
  33. Ahmed Al Samman & Mahmoud Moustafa Otaify, 2017. "How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 300-315.
  34. 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.
  35. Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2012. "Does herding affect volatility? Implications for the Spanish stock market," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 311-327, July.
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