{"title":"投资者情绪对羊群行为和股票收益的不对称影响:新冠肺炎疫情前后分析","authors":"Tanveer Bagh, M. Asif Khan, V. Fenyves, J. Oláh","doi":"10.14254/1800-5845/2023.19-1.4","DOIUrl":null,"url":null,"abstract":"The study investigates the asymmetric effect of investors sentiments on herding behavior and stock returns of S&P 500 markets during pre and post covid 19. We analyze daily data from May 15, 2000 (Pre Covid) to 20 Feb 2020 and form 20 Feb to -13 May, 2022 (Post Covid). We conduct Modified multiple regression Analysis by introducing investors sentiments proxy i.e., trading volume into the Chang et al., (2000) herding model named as cross-sectional absolute deviation along with Vector Autoregressive Regression and Granger Causality tests. We establish that trading volume increases herding asymmetric. Post COVID-19 has significant negative effects on herding behaviour. The findings illustrate that COVID-19 increased herding behavior in S&P 500 markets and became more intensified during COVID-19, which contributes to accentuate and elongate it. The study also documents significant positive effect of investor sentiment on stock returns, whereas COVID-19 has negative effect on S&P 500 stock returns. We propose that investor sentiments may present extrapolative or predictive feature of herding behaviour. The study will be beneficial to shape an understanding of different dynamics associated with portfolio and market in-efficiency, trading strategies as well as risk management perspective.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2023-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Asymmetric Effect of Investors Sentiments on Herding Behavior and Stock Returns: Pre and Post Covid-19 Analysis\",\"authors\":\"Tanveer Bagh, M. Asif Khan, V. Fenyves, J. Oláh\",\"doi\":\"10.14254/1800-5845/2023.19-1.4\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The study investigates the asymmetric effect of investors sentiments on herding behavior and stock returns of S&P 500 markets during pre and post covid 19. We analyze daily data from May 15, 2000 (Pre Covid) to 20 Feb 2020 and form 20 Feb to -13 May, 2022 (Post Covid). We conduct Modified multiple regression Analysis by introducing investors sentiments proxy i.e., trading volume into the Chang et al., (2000) herding model named as cross-sectional absolute deviation along with Vector Autoregressive Regression and Granger Causality tests. We establish that trading volume increases herding asymmetric. Post COVID-19 has significant negative effects on herding behaviour. The findings illustrate that COVID-19 increased herding behavior in S&P 500 markets and became more intensified during COVID-19, which contributes to accentuate and elongate it. The study also documents significant positive effect of investor sentiment on stock returns, whereas COVID-19 has negative effect on S&P 500 stock returns. We propose that investor sentiments may present extrapolative or predictive feature of herding behaviour. The study will be beneficial to shape an understanding of different dynamics associated with portfolio and market in-efficiency, trading strategies as well as risk management perspective.\",\"PeriodicalId\":1,\"journal\":{\"name\":\"Accounts of Chemical Research\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":16.4000,\"publicationDate\":\"2023-01-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Accounts of Chemical Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.14254/1800-5845/2023.19-1.4\",\"RegionNum\":1,\"RegionCategory\":\"化学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"CHEMISTRY, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14254/1800-5845/2023.19-1.4","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
Asymmetric Effect of Investors Sentiments on Herding Behavior and Stock Returns: Pre and Post Covid-19 Analysis
The study investigates the asymmetric effect of investors sentiments on herding behavior and stock returns of S&P 500 markets during pre and post covid 19. We analyze daily data from May 15, 2000 (Pre Covid) to 20 Feb 2020 and form 20 Feb to -13 May, 2022 (Post Covid). We conduct Modified multiple regression Analysis by introducing investors sentiments proxy i.e., trading volume into the Chang et al., (2000) herding model named as cross-sectional absolute deviation along with Vector Autoregressive Regression and Granger Causality tests. We establish that trading volume increases herding asymmetric. Post COVID-19 has significant negative effects on herding behaviour. The findings illustrate that COVID-19 increased herding behavior in S&P 500 markets and became more intensified during COVID-19, which contributes to accentuate and elongate it. The study also documents significant positive effect of investor sentiment on stock returns, whereas COVID-19 has negative effect on S&P 500 stock returns. We propose that investor sentiments may present extrapolative or predictive feature of herding behaviour. The study will be beneficial to shape an understanding of different dynamics associated with portfolio and market in-efficiency, trading strategies as well as risk management perspective.
期刊介绍:
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.