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Arun Narayanasamy, Humnath Panta and Rohit Agarwal
This research investigates the function of price discovery between the Bitcoin futures and the spot markets while also analyzing the impact of investor sentiment and attention on these markets. This study utilizes various statistical models to examine th...
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Qingjie Zhou, Panpan Zhu and Yinpeng Zhang
The uniqueness of this investigation lies in empirically testing and proving the contagion spillover of Bitcoin attention to carbon futures. Specifically, several models are adopted to investigate the explanatory and predictive abilities of Bitcoin atten...
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Damien KUNJAL
Pág. 45 - 64
ETFs have gained increasing popularity due to their numerous benefits, including their higher liquidity relative to their counterparts. However, the influence of this increasing attention on their liquidity remains unexplored. Therefore, this study inves...
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Imene Ben El Hadj Said and Skander Slim
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirica...
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Chaiyuth Padungsaksawasdi, Sirimon Treepongkaruna and Robert Brooks
Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of th...
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Li Zhao, Nathee Naktnasukanjn, Ahmad Yahya Dawod and Bin Zhang
The efficient capital markets hypothesis (EMH) posits that security prices incorporate all available information in capital markets. Nevertheless, real stock markets often exhibit speculative behavior due to information asymmetry and the limited rational...
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Yi-Chang Chen, Shih-Ming Kuo, Yonglin Liu, Zeqiong Wu and Fang Zhang
Most of the growth forecasts in analysts? evaluation reports rely on human judgment, which leads to the occurrence of bias. A back-propagation neural network (BPNN) is a financial technique that learns a multi-layer feedforward network. This study aims t...
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Tian Yang, Jinsong Liu, Qianwei Ying and Tahir Yousaf
This paper explores the relationship between media coverage and stock returns using monthly data of news reports from major Chinese newspapers. We find that firms with higher media coverage in the current month have higher sustainable stock returns in th...
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Qian Chen, Xiang Gao, Jianming Mo and Zhouling Xu
The existing literature shows that, due to locality and familiarity, spatial investor?firm adjacency plays a key role in determining stock investor attention, as proxied by the location where investors initiate an Internet search of the ticker symbol. Th...
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Maher Abida, Emna Mnif
Pág. 43 - 51
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Chen Chunying,Hsieh Chiunghua
Pág. 233 - 236
For the first time, this article uses the search volume index (SVI) of Google Trends to measure investor attention and observe stock market. Empirical results show that the higher the attention to individual stocks, the lower the cumulative abnormal retu...
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Yahui An, Lin Huang and Youwei Li
Traditional asset pricing theory suggests that to compensate for the uncertainty that investors bear, risky assets should generate considerably higher rates of return than the risk-free rate. However, the overnight return anomaly in the Chinese stock mar...
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Stephanos Papadamou, Alexandros Koulis, Constantinos Kyriakopoulos and Athanasios P. Fassas
This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., r...
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Tihana ?krinjaric
This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that ...
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Sanghyuk Byun, Kristin C. Roland and Dongchang Kang
Prior research finds mixed evidence that firms strategically manage their earnings announcement timing to either highlight or obscure financial information. While most prior studies focus on the specific timing and the nature of individual earnings annou...
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Di Song, Canyu Xu, Zewei Fu and Chao Yang
Based on China?s newly established Securities Investor Services Center (CSISC), a minority shareholder protection mechanism, we investigated how the CSISC shareholder influences the ESG performance of listed companies. Using a difference-in-differences a...
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Fei Su, Lili Zhai and Jianmei Liu
This study examines whether and how risk disclosures in Management Discussion and Analysis (MD&A) affected the stock price crash risk of China?s publicly listed firms over the period of 2017?2021. The empirical results show that risk disclosures with...
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Jootae Kim, Sungjin Son and Ick Jin
With the growing number of environmental, social, and governance (ESG) problems, many companies have begun to implement more sustainable business practices. In the midst of this change, institutional shareholders declare and adopt socially responsible in...
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Samuel OSEI-GYEBI
Pág. 43 - 62
In international commerce, a steady exchange rate has been touted as a positive indicator for all economies. It increases investor trust and allows global market participants to make realistic business forecasts. Despite the adoption of multiple regimes,...
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Yi Tang, Yilu Zhou and Marshall Hong
In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned mo...
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