An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets

DOI10.1016/j.jedc.2017.10.004zbMath1401.91585OpenAlexW2778889160MaRDI QIDQ1657390

Fredj Jawadi, Hela Namouri, Zied Ftiti

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.10.004

zbMATH Keywords

nonlinearityforecastinginvestor sentimentsmooth transition regressionstock return dynamics

Mathematics Subject Classification ID

Economic growth models (91B62) Financial applications of other theories (91G80)

Related Items (3)

Exploring the linear and nonlinear causality between Internet big data and stock markets ⋮ Unconventional monetary policy reaction functions: evidence from the US ⋮ Investor sentiment and trading behavior

Cites Work

• Unnamed Item
• An analysis of the effect of noise in a heterogeneous agent financial market model
• The dynamics of speculative behaviour
• Heterogeneity of agents, transactions costs and the exchange rate
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Behavioral heterogeneity in stock prices
• Testing the adequacy of smooth transition autoregressive models
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• The impact of heterogeneous trading rules on the limit order book and order flows
• Heterogeneity, convergence, and autocorrelations
• A Framework for CAPM with Heterogeneous Beliefs
• Testing linearity against smooth transition autoregressive models
• Smart Money, Noise Trading and Stock Price Behaviour
• Prospect Theory: An Analysis of Decision under Risk
• A Rational Route to Randomness
• HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
• Asset price and wealth dynamics under heterogeneous expectations
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES

This page was built for publication: An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets