4.2 Article

Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Economics

International spillovers of US monetary uncertainty and equity market volatility to China's stock markets

Chi-Chuan Lee et al.

Summary: Due to the global economy's integration and liberalization, the transmission of U.S. monetary policy surprises across countries has gained scholarly attention. This research examines the causal linkages between U.S. monetary policy uncertainty, equity market volatility, and China's stock price index. The results demonstrate that China's stock price dynamics have minimal impact on U.S. monetary policy uncertainty, while changes in both positive monetary policy uncertainty and stock prices influence equity market volatility.

JOURNAL OF ASIAN ECONOMICS (2023)

Article Economics

Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development

Petre Caraiani et al.

Summary: We applied the LPPLS Multi-Scale Confidence Indicator approach to detect stock market bubbles in the G7 countries over different time horizons. The results showed synchronized extreme movements in these stock markets, with major crashes and rallies detected from 1973:02 to 2020:09. We also analyzed the impact of monetary policy shocks on bubble indicators and found that central banks can respond to and impact these indicators, depending on the nature of the bubbles and the time scale analyzed.

ECONOMIC ANALYSIS AND POLICY (2023)

Article Economics

Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements?

Ben Gardner et al.

Summary: This article examines the reaction to news based on the description of the state of the economy as provided by the Federal Open Market Committee (FOMC) statements. By developing a novel FOMC sentiment index using textual analysis techniques, the authors find that the impact of news on equity prices varies during different economic conditions as described by the FOMC sentiment index. The analysis suggests that the FOMC sentiment index can provide insights on current and future macroeconomic conditions, affecting the likelihood of interest rate changes, and serving as one of the best predictors for the reaction of equity prices to news.

JOURNAL OF ECONOMETRICS (2022)

Article Environmental Sciences

The asymmetric effect of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China: evidence from QARDL approach

Chien-Chiang Lee et al.

Summary: The study examines the asymmetric effects of temperature, exchange rate, metals, and investor sentiments on solar stock price performance in China. The findings suggest that rare metals and electrical conductors have positive linkage with solar energy stocks, while temperature, RMB exchange rate, and investor sentiments have negative effects.

ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH (2022)

Article Business, Finance

Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment

Oguzhan Cepni et al.

Summary: The study reveals that the US stock market shows a stronger negative reaction to contractionary monetary policy shocks in states with relatively higher investor sentiment. These findings are robust across alternative sample periods and model specifications, and have significant implications for academics, investors, and policymakers.

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2021)

Article Economics

INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES

Aviral Kumar Tiwari et al.

Summary: This study examines the causality of sentiment across the US, Latin America, Eurozone, Japan, and Asia, finding strong evidence of nonlinear relationships and bidirectional spillovers during certain periods. Sentiments of Japan, Asia, and the US are closely related to the Eurozone, as well as sentiments of Japan and Latin America.

ANNALS OF FINANCIAL ECONOMICS (2021)

Article Business, Finance

Monetary policy and speculative spillovers in financial markets

Riza Demirer et al.

Summary: This paper examines the role of monetary policy in driving connectedness patterns in speculative activities in financial markets, finding that unconventional monetary policy increases the connectedness of speculative activities while the stock market generally serves as the main transmitter. Additionally, the study shows that monetary policy drives gold and financial assets to serve as net transmitters of speculative shocks to other markets.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2021)

Article Business, Finance

Happiness sentiments and the prediction of cross-border country exchange-traded fund returns

Chien-Chiang Lee et al.

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2020)

Article Business, Finance

Spillover of sentiment in the European Union: Evidence from time-and frequency-domains

Vasilios Plakandaras et al.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2020)

Article Business, Finance

A Note of Caution on Shadow Rate Estimates

Leo Krippner

JOURNAL OF MONEY CREDIT AND BANKING (2020)

Article Business, Finance

Does Investor Sentiment Drive Stock Market Bubbles? Beware of Excessive Optimism!

Wei-Fong Pan

JOURNAL OF BEHAVIORAL FINANCE (2020)

Article Business, Finance

Investor sentiment and the price-earnings ratio in the G7 stock markets

Md Lutfur Rahman et al.

PACIFIC-BASIN FINANCE JOURNAL (2019)

Article Physics, Multidisciplinary

LPPLS bubble indicators over two centuries of the S&P 500 index

Qunzhi Zhang et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2016)

Article Business, Finance

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Jing Cynthia Wu et al.

JOURNAL OF MONEY CREDIT AND BANKING (2016)

Article Economics

Measuring Economic Policy Uncertainty

Scott R. Baker et al.

QUARTERLY JOURNAL OF ECONOMICS (2016)

Article Business, Finance

International Sentiment Spillovers in Equity Returns

Deven Bathia et al.

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2016)

Article Business, Finance

Periodically collapsing bubbles in the South African stock market

Mehmet Balcilar et al.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE (2016)

Article Business, Finance

Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash

Didier Sornette et al.

JOURNAL OF INVESTMENT STRATEGIES (2015)

Article Business, Finance

Asset price bubbles: a survey

Anna Scherbina et al.

QUANTITATIVE FINANCE (2014)

Article Physics, Multidisciplinary

A stable and robust calibration scheme of the log-periodic power law model

V. Filimonov et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2013)

Article Business, Finance

An examination of investor sentiment effect on G7 stock market returns

Deven Bathia et al.

EUROPEAN JOURNAL OF FINANCE (2013)

Article Economics

Investor sentiment in the stock market

Malcolm Baker et al.

JOURNAL OF ECONOMIC PERSPECTIVES (2007)

Article Business, Finance

Investor sentiment and the cross-section of stock returns

Malcolm Baker et al.

JOURNAL OF FINANCE (2006)

Article Social Sciences, Mathematical Methods

From the help desk: Swamy's random-coefficients model

Brian P. Poi

STATA JOURNAL (2003)