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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Scientific Papers of the University of Pardubice, Series D

ISSN

1211-555X

e-ISSN

1804-8048

Svazek periodika

28

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

1-10

Kód UT WoS článku

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EID výsledku v databázi Scopus

2-s2.0-85094926147