Predicting stock returns and volatility with investor sentiment indices : a reconsideration using a nonparametric causality-in-quantiles test

dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorGupta, Rangan
dc.contributor.authorKyei, Clement Kweku
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2018-02-09T09:51:13Z
dc.date.issued2018-01
dc.description.abstractPlease abstract in the article.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2020-01-10
dc.description.librarianhj2018en_ZA
dc.description.urihttp://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-8586en_ZA
dc.identifier.citationBalcilar, M., Gupta, R. and Kyei, C. (2018), Predicting stock returns and volatility with investor sentiment indices : a reconsideration using a nonparametric causality-in-quantiles test. Bulletin of Economic Research, 70: 74–87. doi:10.1111/boer.12119.en_ZA
dc.identifier.issn0307-3378 (print)
dc.identifier.issn1467-8586 (online)
dc.identifier.other10.1111/boer.12119
dc.identifier.urihttp://hdl.handle.net/2263/63911
dc.language.isoenen_ZA
dc.publisherWileyen_ZA
dc.rights© 2017 Board of Trustees of the Bulletin of Economic Research and John Wiley & Sons Ltd. This is the pre-peer reviewed version of the following article : Predicting stock returns and volatility with investor sentiment indices : a reconsideration using a nonparametric causality-in-quantiles test. Bulletin of Economic Research, 70: 74–87, 2018, doi : 10.1111/boer.12119. The definite version is available at : http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-8586 [24 months embargo]en_ZA
dc.subjectCausality-in-quantilesen_ZA
dc.subjectInvestor sentimenten_ZA
dc.subjectLinear causalityen_ZA
dc.subjectNonlinear dependenceen_ZA
dc.subjectNonparametric causalityen_ZA
dc.subjectStock marketsen_ZA
dc.subjectModelen_ZA
dc.subjectImpactsen_ZA
dc.subjectNoiseen_ZA
dc.subjectRegressionen_ZA
dc.subjectFinancial marketsen_ZA
dc.titlePredicting stock returns and volatility with investor sentiment indices : a reconsideration using a nonparametric causality-in-quantiles testen_ZA
dc.typePostprint Articleen_ZA

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