The aim of the research was to find out the opinions of stockbrokers working at the WarsawStock Exchange regarding the behaviour of Polish investors in the face of the coronavirus(COVID-19) pandemic. ...The research was carried out among 51 stockbrokers representingbrokerage houses with a long history of operations. It has been found that psychologicalconditions of people and stock market sentiments play an important role in the decision-makingprocess, and irrational investor behaviours, including largely herd effects, are particularly evidentduring the pandemic. The research shows that the occurrence of the coronavirus has not reducedthe activity of Polish investors. Thus, significantly growing interest in shares of companies listedon the Warsaw Stock Exchange has been noted. The behaviour and attitude of market participantstowards risk were volatile during the developing pandemic, which manifested itself in rapid buyingof overvalued assets or rapid selling of assets.
This study investigates the COVID-19 pandemic's impact on investor behavior in the currency options market, emphasizing its relationship with underlying exchange rates. Using a sample of daily data ...from select futures continuous calls from September 22, 2016, to December 31, 2021, we introduce a novel variable, “market imperfections,” to quantify the gap between observed and theoretical currency option prices based on the Garman and Kohlhagen model. Through the application of a Markov switching model, we identify pandemic-related changes in investor behavior, characterized by patterns of divergence and convergence. Our research distinguishes between two key behavioral types in the market: fundamentalists and chartists. This study enriches the literature by clarifying how crises, specifically the COVID-19 period, influence investor dynamics and affect market responses. Overall, we provide critical insights into the factors shaping behavior during challenging periods.
•Comprehensive analysis of investor behavior in forex and currency options market during COVID-19.•Shift from fundamentalist to chartist strategies highlighted.•Policy implications urge for crisis readiness and international financial cooperation.•Discovery of divergence and convergence patterns in the currency option market during the COVID-19 period.•Insights into how crises like COVID-19 alter investor behavior and market dynamics.
Most financial theories are based on the assumption that everyone is logical and considers all available information before making decisions, which is not the case in reality. This study aims to ...analyse the behavioural determinants that drive the investment decision of individual investors in J&K. Non-probability convenience sampling was adopted; through which 392 responses from individual investors were gathered using a self-administered questionnaire. The t-test and ANOVA were used to determine the effect of demographics on investment behaviour (IB), whereas logistic regression was used to determine the impact of IB determinants on investment decision-making. The findings show that the investment decisions of investors in Jammu and Kashmir (J&K) are significantly influenced by age and occupation. The results also indicate that cognitive bias, investment goals and saving orientation have a substantial influence on IB but overconfidence, risk perception and decision influencers do not have any significant impact on the investment decision of individual investors in J&K. By gaining awareness of these determinants, investors can make more rational investment decisions, leading to enhanced market efficiency and achieving better outcomes in the financial market.
Trust me, I am a Robo-advisor Scherer, Bernd; Lehner, Sebastian
Journal of asset management,
03/2023, Letnik:
24, Številka:
2
Journal Article
Recenzirano
This paper offers cross-sectional and data-intensive insights into Robo-advisory portfolio structures. For this purpose, we scrape portfolio recommendations for 16 German Robo-advisors. Our sample ...accounts for about 78% of assets in the German Robo-advisory market. We analyze about 243.000 pairs of recommended portfolios and their corresponding client characteristics. Our results show that current Robo-advice offers limited individualization. Variables that matter in modern portfolio choice like the amount and nature (beta) of human capital or shadow assets are largely ignored. Instead, portfolio recommendations are designed to meet investor preconceptions or the regulator’s understanding of portfolio choice. While ensuring consumer trust and regulatory approval makes business sense, it also limits the economic benefits of Robo-advisors.
1
Combining brokerage records and matching monthly survey measurements of a sample of individual investors from the Netherlands for the period April 2008 through March 2009, we examine how individual ...investors update their beliefs (return expectations and risk perceptions) and preferences (risk tolerance) as a result of their personal return and risk experiences. We find that investors' past returns positively impact return expectations and risk tolerance, and negatively impact risk perceptions. Realised risk, however, has no effect. That is, even in a highly volatile stock market period in which risk appears very salient, investors do not take it into account when updating their beliefs and preferences.
Purpose
This study aims to analyse the effects of Economic Policy Uncertainty (EPU) on the return of growth/value and small/large-cap stocks during expansionary and recessionary periods across a ...conditional distribution.
Design/methodology/approach
The authors selected a sample covering the period between 01/1995–05/2021. Quantile regressions were applied to the EPU and Russell indices. Business cycles were established following the NBER.
Findings
The results show that EPU has a negative effect on stocks with the intensity of the effect depending on the stock's profile. Small-cap and growth stocks were found to be most sensitive to EPU, especially during recessions. The negative effect is moderated by the economic cycle but is progressively diluted at the lower tail of the stock return distribution.
Practical implications
The findings shed more light on investment strategies for growth/value investors that pursue opportunities arising from a changing economic cycle.
Originality/value
This study makes the following contributions: (1) explores the impact of EPU on the return of different stocks across a conditional distribution, and (2) provides evidence on how the economic cycle influences EPU impact on growth/value stocks and small/large stocks.
研究目的
:本研究擬分析跨條件分佈、以及於擴張期和衰退期,經濟政策不確定性對成長型股票/價值股和小盤股/大型股的收益的影響。
研究設計/方法/理念
我們選擇了涵蓋1995年1月與2021年5月期間的樣本進行研究。我們於經濟政策不確定性指數和羅素指數上採用分位數迴歸法進行研究; 並跟隨著美國國家經濟研究局,建立了多個經濟週期。
研究結果
研究結果顯示,經濟政策不確定性對股票是有負面影響的,而影響的強度則視乎股票的投資組合而定。我們發現,小盤股和成長型股票對經濟政策不確定性是非常敏感的,尤其是在經濟衰退期間。這負面影響會被經濟週期緩和,唯這緩和作用卻會在股票收益的低尾處逐漸減輕。
實務方面的啟示
研究結果使我們更容易理解為尋找因經濟週期改變而衍生的機會的增長/價值投資者所提供的投資策略。
研究的原創性/價值
本研究有以下的貢獻:(一) 、 探究了經濟政策不確定性對跨條件分佈、不同的股票收益的影響; (二) 、為經濟週期會如何左右經濟政策不確定性對成長型股票/價值股和小盤股/大型股的影響,提供了證據。
Style rotation on the JSE Page, Daniel; McClelland, David; Auret, Christo
Finance research letters,
05/2022, Letnik:
46
Journal Article
Recenzirano
Global studies of style momentum show evidence of significant risk-adjusted profits over short estimation and holding periods. This study, conducted on the Johannesburg Stock Exchange (“JSE”) is ...partially consistent with developed market literature. First, we find that momentum-based style rotation is strongest over short estimation and holding periods. Second, we find a positive relationship between the number of styles applied and performance. Third, factor spanning tests indicate that price momentum and quality reduce time-series alphas, inconsistent with the more recent literature. Additionally, we find an inverse relationship between holding period and returns. The latter result favors a behavioural explanation.
Investor sentiment is the irrational belief of investors leading to over and under-reaction of stock return. Though scholarly works are growing expeditiously in this domain, there is no consensus on ...the impact of investor sentiment on stock return in different markets. Given the paucity of literature in terms of a summary overview of the nexus between investor sentiment and stock return, this study aims to bridge this gap by re-examining investor sentiment’s impact on stock return in the global context. A total of 108 articles were retrieved from the Scopus database spanning from 2000 to 2022. To review the articles, the study employs Scientific Procedure and Rationales for Systematic Literature Review (SPAR-4-SLR) approach. The review reveals that there exists a significant positive effect during the short run. Furthermore, trading volume, social media, initial public offerings, consumer confidence, and closed-end fund discount are found to be the most frequently used proxies for investor sentiment. The review suggests investors to exercise caution while making short-term investment decisions due to strong sentiment-return relations in the short run. The study findings help policymakers and regulators to play a vital role during abnormal market conditions such as market crashes, financial crises and pandemic situations.
This article builds a theoretical and research framework by identifying numerous behavioural biases in investing decision-making through a survey of research publications in the field of behavioural ...finance. It outlines some of the early research that helped establish behavioural finance as a field of study and shows how it has developed through time. The purpose of the article is to carry a systematic review of the literature on heuristic biases, namely overconfidence, representativeness, anchoring, availability and gambler’s fallacy influencing stock market investment decisions, identifying the major gaps in the existing studies on behavioural biases. It also aims to raise specific questions for future research. In the present study, systematic literature review (SLR) technique has been employed. By looking at the research’s year of publication, the journal of publishing, the country of study, the type of study and the statistical methods employed, one can determine the relevance of the study. On the basis of keyword searches for ‘behavioural finance’ in various published journals, conference proceedings, working papers and some other published publications, the research papers are analysed. For the purpose of creating this article, research papers from the earliest studies (1970) to the most recent publications (2022) have been gathered over a period of years. The study also highlights some of the most recent research carried out in this area. The current study is based on 131 selected research papers that were published in reputable journals between 1970 and 2022. A significant portion of the body of literature on behavioural biases highlights the dearth of this type of study in emerging nations; increase in the number of studies after behavioural finance was applied to investment decision-making, the predominance of empirical research; the widespread use of regression analysis; the prevalence of studies on overconfidence bias and the dearth of studies on availability bias and gamblers fallacy. To the best of the authors’ knowledge, the article is a pioneering work in the field of behavioural finance to employ SLR method for a considerable span of time (1970–2022) and to evaluate all the heuristic biases involved in investment decision-making. The present research study is an integration of SLR and bibliometric analysis. The publications’ patterns have been revealed, and the relationships between different types of literature have shed information on the direction that further research should go in.