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

IF 1.2 Q3 ECONOMICS
Tanveer Bagh, M. Asif Khan, V. Fenyves, J. Oláh
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引用次数: 1

摘要

该研究调查了新冠肺炎疫情前后投资者情绪对标准普尔500指数市场羊群行为和股票回报的不对称影响。我们分析了2000年5月15日(新冠肺炎前)至2020年2月20日和2022年2月2日至5月13日(新冠肺炎后)的每日数据。我们通过将投资者情绪代理(即交易量)引入Chang等人(2000)的羊群模型(称为横截面绝对偏差)以及向量自回归和Granger因果关系检验,进行了修正多元回归分析。我们认为交易量增加了羊群效应的不对称性。新冠肺炎后对放牧行为有显著的负面影响。研究结果表明,新冠肺炎增加了标准普尔500指数市场的羊群行为,并在新冠肺炎期间变得更加强烈,这有助于加剧和延长羊群行为。该研究还记录了投资者情绪对股票回报的显著积极影响,而新冠肺炎对标准普尔500标准普尔股票回报的负面影响。我们认为,投资者情绪可能呈现羊群行为的外推或预测特征。这项研究将有助于从效率、交易策略以及风险管理的角度理解与投资组合和市场相关的不同动态。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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来源期刊
CiteScore
3.90
自引率
0.00%
发文量
69
审稿时长
17 weeks
期刊介绍: “Montenegrin Journal of Economics” is an international scientific periodical, issued by NGO “Economic Laboratory for Transition Research” (ELIT) Podgorica, Montenegro. It publishes theoretical, empirical and applicative articles from all the areas of Economics. The journal is issued four times a year. Montenegrin Journal of Economics aspires to educate the widest public on contemporary research and achievements in various areas of economics and to expend the boundaries of economic knowledge. Montenegrin Journal of Economics aims to publish innovative, straightforward, challenging, analytical and review articles on economic phenomena, events and changes . The journal''s content aspires to be actual, relevant and interesting to a wide readership of economic specialties,. This includes publishing the articles of authors from various universities and schools of economics worldwide and their mutual cooperation. Areas of research include, but are not limited to, the following: Economic Theory, International Economics, and Transition Issues.
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