新冠肺炎期间投资者情绪与股市:分位数回归和小波分析

IF 2.6 3区经济学 Q1 Business, Management and Accounting

Journal of Business Economics and Management Pub Date : 2023-09-28 DOI:10.3846/jbem.2023.19814

Ștefan Cristian Gherghina, Seyed Mehdian, Ovidiu Stoica

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引用次数: 0

摘要

本研究的目的是调查2020年1月至2022年6月期间美国、欧洲、亚洲和全球投资者情绪与主要股票市场指数之间的关系。所采用的方法是分位数回归和小波分析。分位数回归结果表明，谷歌搜索量(GSV)和twitter市场不确定性指数(TMU)在较低分位数对股票指数有负向影响。小波相干性分析强调，在较低频段，GSV与标普500指数、纳斯达克综合指数、道琼斯工业指数和富时100指数同步移动，但与DAX、CAC 40、东证指数、日经225指数或MSCI指数不同步。然而，当TMU被用来衡量投资者的情绪时，结果显示整个系列都是不一致的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

INVESTORS’ SENTIMENT AND EQUITY MARKETS DURING COVID-19 PERIOD: A QUANTILE REGRESSION APPROACH AND WAVELET ANALYSIS

The purpose of this study is to investigate the relationship between investor sentiment and leading equity market indices from the U.S., Europe, Asia, and globally between January 2020 and June 2022. The methodological approaches utilized are quantile regression and wavelet analysis. The results of quantile regression suggested that Google Search Volume (GSV) and Twitter-based Market Uncertainty Index (TMU) negatively influenced the equity indices at lower quantiles. The wavelet coherence analysis highlighted that, at lower frequency bands, GSV moves in sync with the S&P 500, NASDAQ Composite, Dow Jones Industrials, and FTSE 100 but not with the DAX, CAC 40, TOPIX, Nikkei 225, or MSCI. Nonetheless, when the TMU was used to measure investors’ sentiment, the results revealed that the whole series was out of phase.

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来源期刊

Journal of Business Economics and Management Multiple-

CiteScore

5.80

自引率

3.80%

发文量

审稿时长

15 weeks

期刊介绍： The Journal of Business Economics and Management is a peer-reviewed journal which publishes original research papers. The objective of the journal is to provide insights into business and strategic management issues through the publication of high quality research from around the world. We particularly focus on research undertaken in Western Europe but welcome perspectives from other regions of the world that enhance our knowledge in this area. The journal publishes in the following areas of research: Global Business Transition Issues Economic Growth and Development Economics of Organizations and Industries Finance and Investment Strategic Management Marketing Innovations Public Administration.