dc.contributor.author |
Bekiros, Stelios
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Kyei, Clement Kweku
|
|
dc.date.accessioned |
2016-07-21T06:16:07Z |
|
dc.date.issued |
2016-07 |
|
dc.description.abstract |
The popular sentiment-based investor index SBW introduced by Baker and Wurgler (2006, 2007) is
shown to have no predictive ability for stock returns. However, and Huang et al. (2015) developed a new
investor sentiment index, SPLS, which they show can predict monthly stock returns based on a linear
framework. However, the linear model may lead to misspecification and lack of robustness. We provide
statistical evidence that the relationship between stock returns, SBW and SPLS is characterized by structural
instability and inherent nonlinearity. Given this, using a nonparametric causality approach, we show that
neither SBW or SPLS predicts stock market returns or even its volatility, as opposed to previous empirical
evidence. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2018-01-31 |
|
dc.description.librarian |
hb2016 |
en_ZA |
dc.description.uri |
http://www.tandfonline.com/loi/raec20 |
en_ZA |
dc.identifier.citation |
Stelios Bekiros, Rangan Gupta & Clement Kyei (2016) A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices, Applied Economics, 48:31, 2895-2898, DOI: 10.1080/00036846.2015.1130793. |
en_ZA |
dc.identifier.issn |
0003-6846 (print) |
|
dc.identifier.issn |
1466-4283 (online) |
|
dc.identifier.other |
10.1080/00036846.2015.1130793 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/56005 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Routledge |
en_ZA |
dc.rights |
© 2016 Taylor and Francis. This is an electronic version of an article published in Applied Economics, vol. 48, no. 31, pp. 2985-2898, 2016. doi : 10.1080/00036846.2015.1130793. Applied Economics is available online at : http://www.tandfonline.comloi/raec20. |
en_ZA |
dc.subject |
Investor sentiment |
en_ZA |
dc.subject |
Stock markets |
en_ZA |
dc.subject |
Nonlinear dependence |
en_ZA |
dc.title |
A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices |
en_ZA |
dc.type |
Postprint Article |
en_ZA |