Sentiment dynamics and stoc returns: the case of the German stock market
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/7037
comunitat-uji-handle3:10234/8635
comunitat-uji-handle4:
INVESTIGACIONEste recurso está restringido
http://dx.doi.org/10.1006/jmbi.1995.0238 |
Metadatos
Título
Sentiment dynamics and stoc returns: the case of the German stock marketAutoría
Fecha de publicación
2011-12Editor
SpringerTipo de documento
info:eu-repo/semantics/articleVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors’ mood and subsequent stock price changes. In contrast to extant literature ... [+]
We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors’ mood and subsequent stock price changes. In contrast to extant literature for other countries, a trivariate vector autoregression for short-run sentiment, medium-run sentiment, and stock index returns allows to reject exogeneity of returns. Depending on the chosen VAR specification, returns are found to either follow a feedback process caused by medium-run sentiment, or returns form a simultaneous systems together with the two sentiment measures. An out-of-sample forecasting experiment on the base of estimated subset VAR models shows significant exploitable linear structure. However, trading experiments do not yield convincing evidence of significant economic gains from the VAR forecasts, and it appears that predictability of returns from sentiment decreases during the recent market gyrations. [-]
Publicado en
Empirical economics, 2011, December, v. 41 (3)Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
Aparece en las colecciones
- MAT_Articles [758]