The Non-linear and Linear Impact of Investor Sentiment on Stock Returns: An Empirical Analysis of the US Market

DOI10.1007/978-1-4614-8060-0_13zbMath1418.91631OpenAlexW2235197974MaRDI QIDQ4561866

Bartosz Gebka

Publication date: 13 December 2018

Published in: Recent Advances in Estimating Nonlinear Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8060-0_13

zbMATH Keywords

investor sentimentstock market efficiencyquantile regressions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (1)

PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY‐IN‐QUANTILES TEST

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing for a unit root in time series regression
• Smart Money, Noise Trading and Stock Price Behaviour
• Regression Quantiles
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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