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Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F20%3APU137409" target="_blank" >RIV/00216305:26510/20:PU137409 - isvavai.cz</a>

  • Result on the web

    <a href="https://editorial.upce.cz/1804-8048/28/3/1105" target="_blank" >https://editorial.upce.cz/1804-8048/28/3/1105</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis

  • Original language description

    In this paper we propose to use wavelet analysis to determine the relationship between investor sentiment and stock index. Based on stock indices in various markets and alternative indicators, sentiment using wave analysis uses the intensity and correlation between sentiment and stock index returns in the short and long term. Initially a strong relationship identified by wavelet coherence and phase difference gradually becomes less intense with increasing time horizon. This suggests that overestimation or underestimation in the short term is gradually corrected in the long run. In addition, a stronger relationship can be observed between investor sentiment and stock indices in times of crisis, including COVID-19 pandemics.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database

  • CEP classification

  • OECD FORD branch

    50202 - Applied Economics, Econometrics

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2020

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Scientific Papers of the University of Pardubice, Series D

  • ISSN

    1211-555X

  • e-ISSN

    1804-8048

  • Volume of the periodical

    28

  • Issue of the periodical within the volume

    3

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    10

  • Pages from-to

    1-10

  • UT code for WoS article

  • EID of the result in the Scopus database

    2-s2.0-85094926147