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Τίτλος: Sentiment, order imbalance, and co-movement: An examination of shocks to retail and institutional trading activity
Συγγραφείς: Chelley-Steeley, Patrìcia Lorraine 
Lambertides, Neophytos 
Savva, Christos S. 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Λέξεις-κλειδιά: Co-movement;Order flow shock and sentiment;Smooth transition model
Ημερομηνία Έκδοσης: Ιαν-2019
Πηγή: European Financial Management, 2019, vol. 25, no. 1, pp. 116-159
Volume: 25
Issue: 1
Start page: 116
End page: 159
Περιοδικό: European Financial Management 
Περίληψη: 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: 1468036X
DOI: 10.1111/eufm.12146
Rights: © Wiley
Type: Article
Affiliation: University of Birmingham 
Cyprus University of Technology 
Publication Type: Peer Reviewed
Εμφανίζεται στις συλλογές:Άρθρα/Articles

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