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Media sentiment and short stocks performance during a systemic crisis
16 references·6 citing·33 second hop
Media sentiment and short stocks performance during a systemic crisis (2021)Media sentiment and short stocks performa…Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)Dynamic connectedness between…COVID–19 media coverage and ESG leader indices (2021)COVID–19 media coverage and E…Return connectedness across asset classes around the COVID-19 outbreak (2020)Return connectedness across a…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Predicting stock returns in the presence of COVID-19 pandemic: The role of health news (2020)Predicting stock returns in t…How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)How COVID-19 drives connected…Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil (2020)Asymmetric dependence between…A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets (2020)A time–frequency analysis of …Short interest and stock price crash risk (2015)Short interest and stock pric…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…A new index of financial conditions (2014)A new index of financial cond…Forecasting intraday volatility in the US equity market. Multiplicative component GARCH (2011)Forecasting intraday volatili…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets (2023)Tail spillover effects betwee…Patterns of unconventional monetary policy spillovers during a systemic crisis (2023)Patterns of unconventional mo…How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices (2023)How does the Russian-Ukrainia…Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets (2022)Small fish in big ponds: Conn…Network connectedness of environmental attention—Green and dirty assets (2022)Network connectedness of envi…COVID-19 and the quantile connectedness between energy and metal markets (2022)COVID-19 and the quantile con…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Performance matched discretionary accrual measures (2005)Do Managers Disclose or Withhold Bad News? Evidence from Short Interest (2018)CEO Early-Life Disaster Experience and Stock Price Crash Risk (2019)Firms' digitalization and stock price crash risk (2022)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Efficient Tests for an Autoregressive Unit Root (1996)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)… and the Cross-Section of Expected Returns (2015)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic (2021)Quantile connectedness in the cryptocurrency market (2021)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga (2022)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2014A new index of financial conditions710 cited
  • 2020Return connectedness across asset classes around the COVID-19 outbreak631 cited
  • 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques397 cited
  • 2015Short interest and stock price crash risk389 cited
  • 2020Predicting stock returns in the presence of COVID-19 pandemic: The role of health news326 cited
  • 2020Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil291 cited
  • 2020A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets249 cited
  • 2021Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

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249 cited
  • 2021COVID–19 media coverage and ESG leader indices206 cited
  • 2011Forecasting intraday volatility in the US equity market. Multiplicative component GARCH179 cited
  • Cited by

    • 2023How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices127 cited
    • 2022Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets106 cited
    • 2023Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets100 cited
    • 2022COVID-19 and the quantile connectedness between energy and metal markets89 cited
    • 2022Network connectedness of environmental attention—Green and dirty assets32 cited
    • 2023Patterns of unconventional monetary policy spillovers during a systemic crisis15 cited