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Momentum and disposition effect in the US stock market

Sadhwani, Ranjeeta; Bhayo, M. U. R. - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies...

Persistent link: https://www.econbiz.de/10013184447

Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)

Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42

We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our … sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global … financial crisis (only China was affected). There was no herding during the European debt crisis and COVID. With regard to the …

Persistent link: https://www.econbiz.de/10013164975

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

The Research Behavior of Individual Investors

Laarits, Toomas; Wurgler, Jeffrey - National Bureau of Economic Research - 2025

Browser data from an approximately representative sample of individual investors offers a detailed account of their search for information, including how much time they spend on stock research, which stocks they research, what categories of information they seek, and when they gather information...

Persistent link: https://www.econbiz.de/10015361501

Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)

Zhang, Hang; Giouvris, Evangelos - 2023

Persistent link: https://www.econbiz.de/10014262090

The response of dynamic herd behavior to domestic and U.S. market factors : evidence from the greater China stock markets

Yang, Wan-Ru; Chen, Yi-Ling - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 18-41

Persistent link: https://www.econbiz.de/10011603376

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

Ardliansyah, Rifqi - 2014

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

Persistent link: https://www.econbiz.de/10013065264

The ASEAN Stock Market Performance and Economic Policy Uncertainty in the United States

Sum, Vichet - 2014

This study investigates the effect of the changes of economic policy uncertainty in the U.S. on the returns on stock markets of Indonesia, Malaysia, Philippines, Singapore and Thailand. The current study also examines how the stock market returns in the five countries respond to the changes in...

Persistent link: https://www.econbiz.de/10013065920

Making Cents of Tick Sizes : An Investigation of the 2016 U.S. SEC Tick Size Pilot on Limit Order Book Liquidity

Griffith, Todd - 2019

We use the 2016 U.S. SEC tick size pilot to examine the effects of an increase in the minimum price variation on limit order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted spread less than $0.05, the tick size increase is...

Persistent link: https://www.econbiz.de/10012902516

Midterm Elections’ Stock Market Surge – An Unintentional Gift From US Politicians

Bialkowski, Jedrzej Pawel - 2019

The paper provides evidence for the existence of a midterm election effect. By examining the quarterly total returns on the S&P 500 Index between 1954 and 2017, we show that, nine times out of 10, the index has been positive in the fourth quarter of a midterm election year and the following two...

Persistent link: https://www.econbiz.de/10012898054