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Title: Sentiment, order imbalance, and co-movement: An examination of shocks to retail and institutional trading activity
Authors: Chelley-Steeley, Patrìcia Lorraine 
Lambertides, Neophytos 
Savva, Christos S. 
Keywords: Co-movement;Order flow shock and sentiment;Smooth transition model
Category: Economics and Business
Field: Social Sciences
Issue Date: Jan-2019
Source: European Financial Management, 2019, Volume 25, Issue 1, Pages 116-159
Journal: European Financial Management 
Abstract: Using order flow imbalance as a measure of sentiment we show that positive and negative shocks to sentiment lead to lower co-movement between portfolio and market returns in the post-shock period. Furthermore, an asymmetry is present as positive shocks to sentiment have less impact on co-movement changes than negative shocks. Moreover, shocks to retail sentiment and the sentiment of two types of institutional investors lead to a reduction in co-movement. Positive shocks to institutional order flow imbalance lead to smaller reductions in co-movement than associated with retail shocks. These effects exist even after controlling for firm-specific and market-wide news.
ISSN: 1468-036X
DOI: 10.1111/eufm.12146
Rights: © 2017 John Wiley & Sons, Ltd.
Type: Article
Appears in Collections:Άρθρα/Articles

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