کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7347810 | 1476501 | 2018 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does investor attention matter? The attention-return relationships in FX markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We empirically investigate whether investor attention matters for the movements of exchange rates from nine countries by utilizing Google Search Volume as the proxy for attention. In-sample results demonstrate mutiplicate relationships between investor attention and currency returns. (1) Lagged investor attention significantly influences currency returns at present, and this effect is short-lived (usually at first lag). (2) The sign of past currency return matters for the magnitude of effects of investor attention on current return. Typically, the influence of past returns on the attention-return relationship alleviates market inefficiency and thus returns are less predictable merely based on past attention. (3) There exists a nonlinear relationship between investor attention and exchange rate returns. Consistent with in-sample results, investor attention provides a statistically significant out-of-sample forecast. These empirical findings indicate that investor attention contains information that influences the movements of exchange rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 68, January 2018, Pages 644-660
Journal: Economic Modelling - Volume 68, January 2018, Pages 644-660
نویسندگان
Liyan Han, Yang Xu, Libo Yin,