Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange
Explore this paper's citation graph
- Type
- article
- Published
- 2019-01-01
- Cited by
- 119
- References
- 89
- Access
- Open access
- OpenAlex
- https://openalex.org/W2935595597
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:159184050
Keywords
Volatility (finance), Economics, Financial economics, Capital asset pricing model, Heteroscedasticity
References
- Investor Sentiment and Price Discovery: Evidence from the Pricing Dynamics between the Futures and Spot Markets
- Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility*
- RISK–RETURN TRADE-OFF AND BEHAVIOUR OF VOLATILITY ON THE SOUTH AFRICAN STOCK MARKET: EVIDENCE FROM BOTH AGGREGATE AND DISAGGREGATE DATA
- Investor Sentiment and Financial Market Volatility
- Modelling and forecasting the volatility of JSE returns: a comparison of competing univariate GARCH models
- Institutional and individual sentiment: Smart money and noise trader risk?
- Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
- Modelling return volatility on the JSE Securities Exchange of South Africa
- Understanding the Volatility Characteristics and Transmission Effects in the Indian Stock Index and Index Futures Market
- Volatility, Sentiment, and Noise Traders
- Are Retail Traders Compensated for Providing Liquidity
- Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets
- Estimating stock market volatility using asymmetric GARCH models
- Behavioral Finance: Finance with Normal People
- The impact of individual and institutional investor sentiment on the market price of risk
- The impacts of investor sentiment on returns and conditional volatility of international stock markets
- First Report of Alternaria dianthicola Causing Leaf Blight on Withania somnifera from India.
- CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
- Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets
- Comparing the Performances of GARCH-type Models in Capturing the Stock Market Volatility in Malaysia
Cited by
- Investor sentiment and stock market liquidity: Evidence from an emerging economy
- Structural Analysis of the Effect of Exchange Rate Movement on Stock Market Performance in Nigeria
- Effects of investor sentiment on stock return volatility: A spatio-temporal dynamic panel model
- The thermal optimal path model: Does Google search queries help to predict dynamic relationship between investor’s sentiment and indexes returns?
- A new European investor sentiment index (EURsent) and its return and volatility predictability
- Spillover of Sentiments Between the GCC Stock Markets
- Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets
- Return predictability and valuation ratios: sector-level evidence on the Johannesburg stock exchange
- Sentiment Analysis of Indian Stock Market Volatility
- Empirical analysis of dynamic spillovers between exchange rate return, return volatility and investor sentiment
- Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?
- Stock Returns and Valuation Ratios at Sector Level in South Africa: The Regime-switch Modelling Approach
- Does the Croatian Stock Market Have Seasonal Affective Disorder?
- A dynamic factor model applied to investor sentiment in the European context
- Does Sentiments Impact the Returns of Commodity Derivatives? An Evidence from Multi-commodity Exchange India
- Islamic index market sentiment: evidence from the ASEAN market
- Measuring the Effect of Noise Trading on Bubbles in Tehran Stock Exchange
- Investor sentiment, realized volatility and stock returns
- Impact of public news sentiment on stock market index return and volatility
- Regime-Switching Determinants of Mutual Fund Performance in South Africa
Related papers
- Identification through Heteroscedasticity: What If We Have the Wrong Form of Heteroscedasticity?
- Testing Methods of Heteroscedasticity in Regression Models
- Factor analysis with heteroscedastic errors
- Quantifying Heteroskedasticity Using Slope of Local Variances Index
- Sources of heteroscedasticity in the spot electricity price time series
- Estimating Farm Efficiency in the Presence of Double Heteroscedasticity Using Panel Data
- Iterative Approaches to Handling Heteroscedasticity With Partially Known Error Variances
- LM Tests for Heteroscedasticity of Some Linear Models