Dependence between stock returns and investor sentiment in Chinese markets: a copula approach

DOI10.1007/S11424-012-9332-0zbMath1256.93099OpenAlexW2072004480MaRDI QIDQ1936575

Liang Liang, Xun Fa Lu, Kin Keung Lai

Publication date: 6 February 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-012-9332-0

zbMATH Keywords

copulaGARCHstock pricesbehavioral financeinvestor sentimentinvestor behaviorcopula approachempirical findingsHansens skewed Student-tnewly opened stock trading accountsstock market behaviortraditional Pearsons correlation

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

Uses Software

• QRM

Cites Work

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• Pair-copula constructions of multiple dependence
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• A method to obtain new copulas from a given one
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Prospect Theory: An Analysis of Decision under Risk
• Autoregressive Conditional Density Estimation
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data

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