Nonlinear models that include the threshold autoregressive model and the threshold cointegration model (TVECM) are applied from the behavioral finance point of view to examine the dynamics between the investor fear gauge proxied by the volatility index (<i>TVIX</i>) and the market index (<i>TAIEX</i>) in...

This paper investigates the causal relationships between sentiment and returns under different market scenarios. In contrast to previous studies that subjectively identify the bullish and bearish markets, we apply a threshold model to detect the extreme level of investors’ sentiment...

We propose a corporate default rating process for the Taiwan Stock Market which incorporates financial ratios, corporate governance, macroeconomic variables and financial media reports. Multi-measurements of the ‘distress intensity of default-corpus’ (DIDC) using linguistic analysis are...

We apply computational linguistic text mining (TM) analysis to extract and quantify relevant Chinese financial news in an attempt to further develop the classical early warning models of financial distress. Extending the work of Demers and Vega (2011), we propose a measure of the degree of...

We examine the effect of Chinese news on announcement drift and investigate its application to portfolio management, applying a linguistic analysis to extract various dimensions of the information content. Our empirical results reveal a positive (negative) relationship between news sentiment and...

This paper re-investigates whether rational bubbles existed in the G-7 stock markets during the period of January 2000–June 2009 using the newly developed Fourier unit root test and a nonparametric rank test for cointegration. The empirical results from our Fourier unit test indicate that the...

In this study, we use the newly developed and refined panel stationary test with structural breaks to investigate the time-series properties of stock prices for the G-7 stock markets during the 2000–2007 period. The empirical results from numerous earlier panel-based unit root tests which do...

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run Purchasing Power Parity (PPP) for China during the period of March 1985 to September 2008. Although there is evidence of long-run PPP for China,...

This study applies threshold cointegration test advanced by Enders and Siklos (2001) to investigate the properties of asymmetric adjustment in long-run Purchasing Power Parity (PPP) in 22 selected African countries during the period of January 1980 to December 2003. Although there is evidence of...