2021
DOI: 10.1016/j.iref.2020.12.022
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Composite survey sentiment as a predictor of future market returns: Evidence for German equity indices

Abstract: The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results of the CNB's research projects as well as the other research activities of both the staff of the CNB and collaborating outside contributors, including invited speakers. The Series aims to present original research contributions relevant to central banks. It is refereed internationally. The referee process is managed by the CNB Economic Research Division. The working papers are circulated to stimulate discussion. Th… Show more

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Cited by 7 publications
(1 citation statement)
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References 74 publications
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“…Regarding the experience of forming new markets of tomorrow in developed countries, Rakovská (2021) considers composite survey sentiment a predictor of future market returns and gives German equity indices evidence. Li et al (2021) think the question “Which market dominates the price discovery in currency futures?” to be open and dwell on the case of the Chicago Mercantile Exchange and the Intercontinental Exchange.…”
Section: Related Literaturementioning
confidence: 99%
“…Regarding the experience of forming new markets of tomorrow in developed countries, Rakovská (2021) considers composite survey sentiment a predictor of future market returns and gives German equity indices evidence. Li et al (2021) think the question “Which market dominates the price discovery in currency futures?” to be open and dwell on the case of the Chicago Mercantile Exchange and the Intercontinental Exchange.…”
Section: Related Literaturementioning
confidence: 99%