Investor sentiment and dollar-pound exchange rate returns : evidence from over a century of data using a cross-quantilogram approach

dc.contributor.authorShahzad, Syed Jawad Hussain
dc.contributor.authorKyei, Clement Kweku
dc.contributor.authorGupta, Rangan
dc.contributor.authorOlson, Eric
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2021-04-13T07:39:17Z
dc.date.issued2021-01
dc.description.abstractIn this paper, we investigate the cross-quantile dependence between investor sentiment and exchange rate returns using an extreme quantile approach and based on daily data covering the period January 4, 1905 to January 3, 2006. As a proxy of investor sentiment, we use the bull (positive) minus bear (negative) spread of the sentiment measure constructed by Garcia (2013). We find that the lower quantiles of investor sentiment have a positive and significant effect on the quantiles of dollar-pound exchange rate returns. However, the sign of dependence is reversed for the median to higher quantiles of the distribution of the sentiment. Our finding holds even after controlling for the performance of the equity market, and provides additional evidence that investor sentiment can augment conventional predictors with respect to the future evolution of exchange rate returns.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2021-04-23
dc.description.librarianhj2021en_ZA
dc.description.urihttp://www.elsevier.com/locate/frlen_ZA
dc.identifier.citationShahzad, S.J.H., Kyei, C.K., Gupta, R. et al. 2021, 'Investor sentiment and dollar-pound exchange rate returns: evidence from over a century of data using a cross-quantilogram approach', Finance Research Letters, vol. 38, art. 101504, pp. 1-9.en_ZA
dc.identifier.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2020.101504
dc.identifier.urihttp://hdl.handle.net/2263/79406
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2020 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 38, art. 101504, pp. 1-9, 2021. doi : 10.1016/j.frl.2020.101504.en_ZA
dc.subjectExchange rateen_ZA
dc.subjectQuantile dependenceen_ZA
dc.subjectInvestor sentimenten_ZA
dc.subjectBehavioral financeen_ZA
dc.titleInvestor sentiment and dollar-pound exchange rate returns : evidence from over a century of data using a cross-quantilogram approachen_ZA
dc.typePostprint Articleen_ZA

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