The relationships between sentiment, returns and volatility

International Journal of Forecasting

Volumn 22, Issue 1, 2006, Pages 109-123

  Wang, Yaw Huei ^a   Keswani, Aneel ^b   Taylor, Stephen J ^c  

^a NATIONAL CENTRAL UNIVERSITY   (Taiwan)

^b CITY UNIVERSITY   (United Kingdom)

^c LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Causality; Investor surveys; Market based sentiment measures; Realized volatility; Stock index returns

Indexed keywords

EID: 31744436887     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2005.04.019     Document Type: Article

References (17)

1. T.G. Andersen T. Bollerslev Answering the skeptics: Yes, standard volatility models do provide accurate forecasts International Economic Review 39 1998 885-905
2. T.G. Andersen T. Bollerslev F.X. Diebold H. Ebens The distribution of realized stock return volatility Journal of Financial Economics 61 2001 43-76
3. R.W. Arms The Arms Index (TRIN): An introduction to the volume analysis of stock and bond markets 1989 McGraw-Hill Companies
4. B.J. Blair S. Poon S.J. Taylor Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high frequency index returns Journal of Econometrics 105 2001 5-26
5. G.W. Brown Volatility, sentiment, and noise traders Financial Analysts Journal 55 1999 82-90
6. G.W. Brown M.T. Cliff Investor sentiment and the near-term stock market Journal of Empirical Finance 11 2004 1-27
7. B.J. Christensen N.R. Prabhala The relation between implied and realized volatility Journal of Financial Economics 50 1998 125-150
8. J.B. De Long A. Shleifer L.H. Summers R.J. Waldmann Noise trader risk in financial markets Journal of Political Economy 98 1990 703-738
9. K.L. Fisher M. Statman Investor sentiment and stock returns Financial Analysts Journal 56 2000 16-23
10. J. Fleming The quality of market volatility forecasts implied by S&P 100 index option prices Journal of Empirical Finance 5 1998 317-345
11. J. Fleming B. Ostdiek R.E. Whaley Predicting stock market volatility: A new measure Journal of Futures Markets 15 1995 265-302
12. W.Y. Lee C.X. Jiang D.C. Indro Stock market volatility, excess returns, and the role of investor sentiment Journal of Banking and Finance 26 2002 2277-2299
13. R. Neal S.M. Wheatley Do measures of sentiment predict returns? Journal of Financial and Quantitative Analysis 33 4 1998 523-547
14. S. Poon C.W.J. Granger Forecasting financial market volatility: A review Journal of Economic Literature 41 2003 478-539
15. D.P. Simon R.A. Wiggins III S&P futures returns and contrary sentiment indicators Journal of Futures Markets 21 2001 447-462
16. M.E. Solt M. Statman How useful is the sentiment index? Financial Analysts Journal 44 1988 45-55
17. C. Wang Investor sentiment and return predictability in agricultural futures markets Journal of Futures Markets 21 2001 929-952