2017
DOI: 10.1111/eufm.12146
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Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity

Abstract: Using order flow imbalance as a measure of sentiment we show that positive and negative shocks to sentiment lead to lower co‐movement between portfolio and market returns in the post‐shock period. Furthermore, an asymmetry is present as positive shocks to sentiment have less impact on co‐movement changes than negative shocks. Moreover, shocks to retail sentiment and the sentiment of two types of institutional investors lead to a reduction in co‐movement. Positive shocks to institutional order flow imbalance le… Show more

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Cited by 21 publications
(18 citation statements)
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References 106 publications
(192 reference statements)
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“…Discussion. From the distribution polygons, it can be seen that there is a relationship between: L2 = f (L1); L5 = f (L3) and L4 = f (G) per general secondary education per secondary school student, which shows direct regression with an increase per unit L1, L2 increases by 0.59 units [9][10][11][12]. From line number 2 in table.…”
Section: Resultsmentioning
confidence: 88%
“…Discussion. From the distribution polygons, it can be seen that there is a relationship between: L2 = f (L1); L5 = f (L3) and L4 = f (G) per general secondary education per secondary school student, which shows direct regression with an increase per unit L1, L2 increases by 0.59 units [9][10][11][12]. From line number 2 in table.…”
Section: Resultsmentioning
confidence: 88%
“…The first is information-scientific-educational-production environment with a further reduction ISEPE. Then there are indicators of the process block (IPB), indicators of the information quantitative block (IIQB) and indicators of the information quality block (IIQuB) (Camboni & Valbonesi, 2020;Chelley-Steeley et al, 2019).…”
Section: Resultsmentioning
confidence: 99%
“…P2P energy trading system consists of buyers and sellers of RES, where a fabricated price of energy autonomously depends on the number of participants (i.e., producers and consumers) [25]. However, the fabricated price of energy may result in imbalance of orders (i.e., imbalance of order is a situation resulting from excess of buy or sell orders on trade exchange [38]). Blockchain can significantly minimize the fabricated price with the help of a smart contract.…”
Section: Blockchain For Sgmentioning
confidence: 99%