2016
DOI: 10.1016/j.mulfin.2016.07.003
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The impact of investor sentiment on returns and conditional volatility in U.S. futures markets

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Cited by 42 publications
(22 citation statements)
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“…In contrast, developed markets are showing low returns with lower risk-return trade-offs. These results are consistent with previous researches, which were conducted for stock returns and volatilities of emerging and developed stock markets (e.g., Neaime 2016;Auer 2016;Guris, Sacildi 2016;Sarwar, Khan 2016;Bahloul, Bouri 2016;Choi et al 2016;Goetzmann, Jorion 1999;etc.). Correlation analysis revealed the significant positive correlation among the developed markets, but emerging and developed markets have shown relatively insignificant correlation by enlarge.…”
Section: Discussionsupporting
confidence: 93%
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“…In contrast, developed markets are showing low returns with lower risk-return trade-offs. These results are consistent with previous researches, which were conducted for stock returns and volatilities of emerging and developed stock markets (e.g., Neaime 2016;Auer 2016;Guris, Sacildi 2016;Sarwar, Khan 2016;Bahloul, Bouri 2016;Choi et al 2016;Goetzmann, Jorion 1999;etc.). Correlation analysis revealed the significant positive correlation among the developed markets, but emerging and developed markets have shown relatively insignificant correlation by enlarge.…”
Section: Discussionsupporting
confidence: 93%
“…Findings of the study confirmed that ARIMA and GARCH provide confirmatory evidence that ARIMA and GARCH methods deliver thrifty estimations of mean and volatility approximations of mean and volatility subtleties in the case of CEE equity markets, moreover, they also confirmed the slow mean reversion process in CEE stock markets. There is overwhelming confirmation corroborating the presence of a leverage effect, it means that a number of negative shocks escalate volatility more as compared to the positive shocks do (Bahloul, Bouri 2016). For the intelligent investment decision in equity markets is based on the way of communication stock information from one market to another.…”
Section: Theoretical Substantiationmentioning
confidence: 93%
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“…Earlier studies have attempted to explore the impact of macroeconomic variables along with interest rate change on returns and volatility of Islamic and conventional stock indices and delivers an understanding about conditional correlation for stock returns (Cheong, Nor, & Isa, 2007;Engle, Ghysels, & Sohn, 2013;Ibrahim, 2007) for Islamic and conventional stock markets during global financial crisis. The performance of Islamic stock indices and conventional stock indices for different periods have been observed in previous studies (Abu-Alkheil, Khan, Parikh, & Mohanty, 2017;Bahloul & Bouri, 2016;Boo, Ee, Li, & Rashid, 2017;El Mehdi & Mghaieth, 2017;Hayat & Hassan, 2017;Narayan & Banningidadmath, 2017). They have explored performance by using different models but have not evaluated the performance of these indices during financial crises.…”
Section: Introductionsupporting
confidence: 62%
“…A vast early literature has attempted to capture the market sentiment using macroeconomic announcements (e.g., Balduzzi, Elton, & Green, 2001;Barnhart, 1989;Boyd, Hu, & Jagannathan, 2005;Hess, Huang, & Niessen, 2008;Nowak, Andritzky, Jobst, & Tamirisa, 2011;Simpson & Ramchander, 2004;Simpson, Ramchander, & Chaudhry, 2005;Smales, 2013;Smales & Yang, 2015). As Baker and Wurgler (2006) pointed out, other studies have used market-based measures like the closed-end fund discount and the exchange turnover to construct a proxy for sentiment (e.g., Bahloul & Bouri, 2016;Gao & Süss, 2015;Zheng, 2015). In recent years, the development of news analytics has offered a more direct measure for capturing market sentiment.…”
Section: Introductionmentioning
confidence: 99%