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Sentiment dynamics and stoc returns: the case of the German stock market
dc.contributor.author | Lux, Thomas | |
dc.date.accessioned | 2012-10-23T11:32:33Z | |
dc.date.available | 2012-10-23T11:32:33Z | |
dc.date.issued | 2011-12 | |
dc.identifier.uri | http://hdl.handle.net/10234/49754 | |
dc.description.abstract | 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. | ca_CA |
dc.format.extent | 17 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Springer | ca_CA |
dc.relation.isPartOf | Empirical economics, 2011, December, v. 41 (3) | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/CNE/1.0/ | * |
dc.subject | Investor sentiment | ca_CA |
dc.subject | Opinion dynamics | ca_CA |
dc.subject | Return predictabliity | ca_CA |
dc.subject.lcsh | Investors | ca_CA |
dc.subject.lcsh | Economic, Outlook | ca_CA |
dc.subject.other | inversors | ca_CA |
dc.subject.other | perpectives economiques | ca_CA |
dc.title | Sentiment dynamics and stoc returns: the case of the German stock market | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | http://dx.doi.org/10.1006/jmbi.1995.0238 | |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
dc.type.version | info:eu-repo/semantics/publishedVersion |
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