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Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets
16 references·1 citing·43 second hopsampled
Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets (2022)Effects of investor sentiment on stock vo…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Is All That Talk Just Noise? …Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…The Noise Trader Approach to Finance (1990)The Noise Trader Approach to …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Stock return variances (1986)Stock return variancesNoise (1986)NoiseDoes heterogeneous media sentiment matter the ‘green premium’? An empirical evidence from the Chinese bond market (2024)Does heterogeneous media sent…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Judgment under Uncertainty: Heuristics and Biases (1974)The Cross-Section of Expected Stock Returns (1992)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Prospect theory: An analysis of decision under risk (1988)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)The Econometrics of Financial Markets (2012)Textual Analysis in Accounting and Finance: A Survey (2016)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 2004Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards2,369 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1986Stock return variances1,813 cited
  • 1986Noise1,783 cited
  • 1990The Noise Trader Approach to Finance1,636 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks

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1,591 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • Cited by

    • 2024Does heterogeneous media sentiment matter the ‘green premium’? An empirical evidence from the Chinese bond market26 cited