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https://hdl.handle.net/20.500.14279/13678
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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