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Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures 社交媒体情绪会推动加密货币的日内价格波动吗？来自非对称 TVP-VAR 频率关联性测量的新证据
The European Journal of Finance Pub Date : 2024-03-11 DOI: 10.1080/1351847x.2024.2314085
Suwan (Cheng) Long, Ioannis Chatziantoniou, David Gabauer, Brian Lucey
{"title":"Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures","authors":"Suwan (Cheng) Long, Ioannis Chatziantoniou, David Gabauer, Brian Lucey","doi":"10.1080/1351847x.2024.2314085","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2314085","url":null,"abstract":"In this paper, we investigate interdependencies between cryptocurrencies and investor sentiment by introducing the asymmetric TVP-VAR frequency connectedness approach. Our empirical results provide...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140106011","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sentiment matters: the effect of news-media on spillovers among cryptocurrency returns 情绪很重要：新闻媒体对加密货币回报率溢出效应的影响
The European Journal of Finance Pub Date : 2024-03-11 DOI: 10.1080/1351847x.2024.2323454
Erdinc Akyildirim, Ahmet Faruk Aysan, Oguzhan Cepni, Özge Serbest
{"title":"Sentiment matters: the effect of news-media on spillovers among cryptocurrency returns","authors":"Erdinc Akyildirim, Ahmet Faruk Aysan, Oguzhan Cepni, Özge Serbest","doi":"10.1080/1351847x.2024.2323454","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2323454","url":null,"abstract":"This paper explores the relationship between news media sentiment and spillover effects in the cryptocurrency market. By employing a time-varying parameter vector autoregressive model, we initially...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"39 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140148219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Model scan of factors in U.K. stock returns 英国股票收益因素模型扫描
The European Journal of Finance Pub Date : 2024-02-06 DOI: 10.1080/1351847x.2024.2312203
Jonathan Fletcher, Andrew Marshall, Michael O’Connell
{"title":"Model scan of factors in U.K. stock returns","authors":"Jonathan Fletcher, Andrew Marshall, Michael O’Connell","doi":"10.1080/1351847x.2024.2312203","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2312203","url":null,"abstract":"We use the Bayesian model scan approach of Chib, S., X. Zeng, and L. Zhao. 2020. ‘On Comparing Asset Pricing Models.’ The Journal of Finance 75 (1): 551–577. https://doi.org/10.1111/jofi.12854, and...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139761328","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Hedging, optimal capital structure and incentives for risk-shifting with preferences for liquidity 套期保值、最优资本结构和流动性偏好下的风险转移动机
The European Journal of Finance Pub Date : 2024-02-06 DOI: 10.1080/1351847x.2024.2310797
Pengfei Luo, Ting Lu, DanDan Song, Jinglu Jiang
{"title":"Hedging, optimal capital structure and incentives for risk-shifting with preferences for liquidity","authors":"Pengfei Luo, Ting Lu, DanDan Song, Jinglu Jiang","doi":"10.1080/1351847x.2024.2310797","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2310797","url":null,"abstract":"We develop a dynamic incomplete-markets model of entrepreneurial firms and demonstrate the implications of preferences for liquidity to entrepreneur's interdependent consumption, portfolio allocati...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"3 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139761284","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Let me sleep on it: sleep and investor reactions to earnings surprises 让我睡一觉：睡眠与投资者对盈利意外的反应
The European Journal of Finance Pub Date : 2024-01-29 DOI: 10.1080/1351847x.2023.2287065
Angelica Gonzalez, Xuhao Li
{"title":"Let me sleep on it: sleep and investor reactions to earnings surprises","authors":"Angelica Gonzalez, Xuhao Li","doi":"10.1080/1351847x.2023.2287065","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2287065","url":null,"abstract":"We explore if sleep deprivation affects how investors react to relevant news. Using the transition to Daylight Saving Time (DST) in spring as a disruption to sleeping patterns, we show that investo...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"169 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139646077","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Investor sentiment and stock market returns: a story of night and day 投资者情绪与股市回报：日以继夜的故事
The European Journal of Finance Pub Date : 2024-01-24 DOI: 10.1080/1351847x.2024.2306942
Wenzhao Wang
{"title":"Investor sentiment and stock market returns: a story of night and day","authors":"Wenzhao Wang","doi":"10.1080/1351847x.2024.2306942","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2306942","url":null,"abstract":"Some financial relations have been confirmed to be different overnight and intraday due to different clienteles. In this paper, we assess the impact of investor sentiment on stock market returns in...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139585410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Persistence or reversal? The effects of abnormal trading volume on stock returns 持续还是逆转？异常交易量对股票回报的影响
The European Journal of Finance Pub Date : 2024-01-22 DOI: 10.1080/1351847x.2024.2303092
Mingyi Li, Xiangkang Yin, Jing Zhao
{"title":"Persistence or reversal? The effects of abnormal trading volume on stock returns","authors":"Mingyi Li, Xiangkang Yin, Jing Zhao","doi":"10.1080/1351847x.2024.2303092","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2303092","url":null,"abstract":"Having established that portfolios derived from the extreme deciles of Abnormal Trading Volume (ATV) generate positive (negative) returns in the short (long) run, we devise a measure of Persistence...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139585421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The benefits of return smoothing in insurer's cover funds – analyzes from a client's perspective 保险公司保障基金收益平滑的好处--从客户角度分析
The European Journal of Finance Pub Date : 2024-01-18 DOI: 10.1080/1351847x.2023.2297052
Jochen Ruß, Stefan Schelling, Mark Benedikt Schultze
{"title":"The benefits of return smoothing in insurer's cover funds – analyzes from a client's perspective","authors":"Jochen Ruß, Stefan Schelling, Mark Benedikt Schultze","doi":"10.1080/1351847x.2023.2297052","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2297052","url":null,"abstract":"Traditional life insurance typically uses some mechanism that is aimed at smoothing the returns of the (collective) assets in the insurer's so-called cover fund. We consider a generic smoothing mec...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"52 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139516753","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Information processing costs and credit ratings: evidence from investor interactive platforms in China 信息处理成本与信用评级：来自中国投资者互动平台的证据
The European Journal of Finance Pub Date : 2024-01-07 DOI: 10.1080/1351847x.2023.2293105
Rongli Yuan, Wenyue Jin, Lisha Luo-Yang
{"title":"Information processing costs and credit ratings: evidence from investor interactive platforms in China","authors":"Rongli Yuan, Wenyue Jin, Lisha Luo-Yang","doi":"10.1080/1351847x.2023.2293105","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2293105","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"19 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139448496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Joint calibration of VIX and VXX options: does volatility clustering matter? VIX 和 VXX 期权的联合校准：波动率集群是否重要？
The European Journal of Finance Pub Date : 2023-12-30 DOI: 10.1080/1351847x.2023.2297042
Shan Lu
{"title":"Joint calibration of VIX and VXX options: does volatility clustering matter?","authors":"Shan Lu","doi":"10.1080/1351847x.2023.2297042","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2297042","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":" 8","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139137594","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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