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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
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.||URI:||http://ktisis.cut.ac.cy/handle/10488/13678||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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