کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
968049 931439 2007 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Noise trading and stock market volatility
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Noise trading and stock market volatility
چکیده انگلیسی

We investigate the relative effects of fundamental and noise trading on the formation of conditional volatility. We find significant positive (negative) effects of investor sentiments on stock returns (volatilities) for both individual and institutional investors. There are greater positive effects of rational sentiments on stock returns than irrational sentiments. Conversely, there are significant (insignificant) negative effects of irrational (rational) sentiments on volatility. Also, we find asymmetric (symmetric) spillover effects of irrational (rational) bullish and bearish sentiments on the stock market. Evidence in favor of irrational sentiments is consistent with the view that investor error is a significant determinant of stock volatilities.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 17, Issue 3, July 2007, Pages 231–243
نویسندگان
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