Do investors' sentiment dynamics affect stock returns? Evidence from the US economy

Economics Letters

Volumn 116, Issue 3, 2012, Pages 404-407

  Dergiades, Theologos ^a  

^a INTERNATIONAL HELLENIC UNIVERSITY   (Greece)

Author keywords

Investors' sentiment; Non linear Granger causality; Stock returns

Indexed keywords

EID: 84860615177     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2012.04.018     Document Type: Article

References (16)

1. Baek, E.G., Brock, A.W., 1992. A general test for non-linear Granger causality: bivariate model. Technical Report, Korean Development Institute and University of Wisconsin, Madison.
2. Baker M., Wurgler J. Investor sentiment in the stock market. Journal of Economic Perspectives 2007, 21(2):129-151.
3. Barberis N., Shleifer A., Vishny R. A model of investor sentiment. Journal of Financial Economics 1998, 49(3):307-343.
4. Breitung J. Nonparametric tests for unit roots and cointegration. Journal of Econometrics 2002, 108(2):343-364.
5. Brown G.W., Cliff M.T. Investor sentiment and the near-term stock market. Journal of Empirical Finance 2004, 11(1):1-27.
6. Dickey D.A., Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 1979, 74(366):427-431.
7. Diks C., Panchenko V. A new statistic and practical guidelines for non-parametric Granger causality testing. Journal of Economic Dynamics and Control 2006, 30(9-10):1647-1669.
8. Diks C., Panchenko V. A note on the Hiemstra-Jones test for Granger non-causality. Studies in Nonlinear Dynamics and Econometrics 2005, 9(2):1-7. Art. No 4.
9. Elliott G., Rothenberg T.J., Stock J.H. Efficient tests for an autoregressive unit root. Econometrica 1996, 64(4):813-836.
10. Francis B., Mougoue M., Panchenko V. Is there a symmetric nonlinear causal relationship between large and small firms?. Journal of Empirical Finance 2010, 17(1):23-38.
11. Hiemstra C., Jones D. Testing for linear and non-linear Granger causality in the stock price-volume relationship. Journal of Finance 1994, 49(5):1639-1664.
12. Huisman R., Van der Sar N.L., Zwinkels R.C.J. A new measurement method of investor overconfidence. Economics Letters 2012, 114(1):69-71.
13. Kling G., Gao L. Chinese Institutional investors' sentiment. Journal of International Financial Markets, Institutions and Money 2008, 18(4):374-387.
14. Kwiatkowski D., Phillips P.C.B., Schmidt P., Shin Y. Testing the null hypothesis of stationary against the alternative of a unit root. Journal of Econometrics 1992, 54(1-3):159-178.
15. Lux T. Sentiment dynamics and stock returns: the case of the German stock market. Empirical Economics 2011, 41(3):663-679.
16. Schmeling M. Investor sentiment and stock returns: some international evidence. Journal of Empirical Finance 2009, 16(3):394-408.