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
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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
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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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
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EID of the result in the Scopus database
2-s2.0-85094926147