The nonlinear relationship between investor sentiment, stock return, and volatility
Summary: Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market. We examine the relationship between investor sentiment, stock return, and volatility by applying OLS regression and quantile regression. Our empirical results show that the effects of investor sentiment on stock market return are asymmetric. There is ``Freedman effect in Chinese stock market, but only optimistic sentiment has a significant nonlinear impact on stock market returns when the stock market is a balanced market or a bear market. Meanwhile, ``create the space effect does exist in Chinese stock market too. It only exists when the market is in equilibrium, and only pessimistic sentiment has the nonlinear effect on stock market volatility.
- The non-linear and linear impact of investor sentiment on stock returns: an empirical analysis of the US market
- Predicting stock market volatility based on textual sentiment: a nonlinear analysis
- Extreme return, extreme volatility and investor sentiment
- Investor sentiment index and empirical evidence from China's stock market
- An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
- An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
- The mean-variance relation and the role of institutional investor sentiment
- Dependence between stock returns and investor sentiment in Chinese markets: a copula approach
- Stock market volatility and public information flow: a non-linear perspective
- The influence of investor emotion on the stock market: evidence from an infectious disease model
- Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
- Investor sentiment, macro economy and stock market returns
- Transmission characteristics of investor sentiment for energy stocks from the perspective of a complex network
- Which is the important factor that influences the development of the stock market, the investor sentiment or the leverage trading?
- Investor sentiment index and empirical evidence from China's stock market
- The non-linear and linear impact of investor sentiment on stock returns: an empirical analysis of the US market
- PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY‐IN‐QUANTILES TEST
- Predicting stock market volatility based on textual sentiment: a nonlinear analysis
- Asymmetry of investor sentiment and the reason: evidence from Chinees stock market
- Research on the influence of investor sentiment on stock price crash risk --- based on the mesomeric effect of excessive investment by enterprises
- Extreme return, extreme volatility and investor sentiment
- scientific article; zbMATH DE number 6401934 (Why is no real title available?)
- Impact of public news sentiment on stock market index return and volatility
- Decoding Russian stock market trends through ensemble methods and sentiment analysis of social media
This page was built for publication: The nonlinear relationship between investor sentiment, stock return, and volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2183254)
