Investor sentiment in the tourism stock market Peng, Kang-Lin; Wu, Chih-Hung; Lin, Pearl M.C. ...
Journal of behavioral and experimental finance,
March 2023, 2023-03-00, Volume:
37
Journal Article
Peer reviewed
This study applies time-series analysis to observe investor sentiment in the tourism stock market. We infer that investor sentiment positively affects the capital flows to illustrate the behavioral ...finance in the tourism stock market. The vector autoregression and autoregressive-moving-average models of time-series analysis are adopted to analyze individual and overall capital flows of herding behavior. The empirical study collected quarterly data on 45 tourism-related stocks in China from 2018 to 2020. Results reaffirm that investor sentiment causes irrational investment and strong fluctuations of capital flows, including those during the Coronavirus 2019 pandemic. In practice, the overreaction of tourism-related stocks is discovered in the tourism market that requires long-term resilience. Theoretically, the rational capital asset pricing model needs adjustments with the sentiment factor based on behavioral finance theory.
•Use FOMC press conference videos to identify and quantify Fed Chairmen's facial expressions with facial recognition technology and machine learning algorithms.•Capture nonverbal cues alongside ...verbal messages to measure market response using high frequency price and trading volume data for various financial asset classes.•Relate scores based on facial expressions to minute-level market responses, highlighting real-time reactions to nonverbal communication signals.•Find that investors adversely react to negative facial expressions exhibited by Chairs, with significant effects observed across asset classes and specifications.•Impact of Chairs' negative facial expressions heightened during increased media attention, forward guidance discussions, and more negative tone of discussions.
When the Fed Chair speaks, investors not only listen, but also watch. To demonstrate this phenomenon, we apply facial recognition analysis to FOMC press conference videos and quantify one of the most important aspects of nonverbal communication - facial expressions. Using minute-level data, we align our nonverbal communication measure with a set of financial assets to estimate the impact of the Fed Chairs’ facial expressions on investor expectations. We find that investors adversely react to negative expressions revealed during the press conference, even when controlling for the verbal component of the press conference and other explanatory variables.
The attractiveness of the equities of the Islamic faith-compliant companies as a hedge or possible diversifier has been underscored; however, there is a lack of empirical research on their safe-haven ...and hedge attributes against changes in the level of cryptocurrency environmental attention (ICEA). We examine whether various distributions of the ICEA possess a significant predictive power on various quantiles of Islamic sectoral stock returns by employing weekly data on the ICEA and Shariah-compliant stocks from 10 sectors of economic activity and base their multi-scale analysis on the complete ensemble empirical mode decomposition (CEEMDAN) approach. We present the asymmetric causality-in-means and quantile-on-quantile regression between the ICEA and Islamic stocks. The empirical results show a significant predictive power of the ICEA on various quantiles of Islamic sectoral stocks in the medium- and long term. We find that the safe-haven and hedging attributes of investments in Islamic stocks are sector-dependent across the medium- and long-term scales. Hence, our findings emphasize that based on market states, possible safe-haven attributes, diversification opportunities, and hedges for cross-sectoral investments with Islamic stocks are viable along various investment horizons for diverse levels of cryptocurrency environmental attention. These findings provide original valuable insights for portfolio management and improving financial stability.
We propose a multiplex network including layers of realized variance (RV), implied variance (IV), and variance risk premium (VRP) to investigate the volatility information transmission among 18 ...global financial markets through the spillover index in the variance decomposition framework. We innovatively study the connectedness of global volatility from aspects of RV, IV, and VRP to portray the interrelation between market volatility and investor sentiments. Upon inspecting and comparing static and dynamic topological characteristics on each layer, we find that information transmission mechanism is different among the three layers. Spillover effects are observed to be the strongest on the IV layer in the long term, while the most evident spillover shocks are observed on the VRP layer in the short term. At the market level, European and the US markets are the main spillover emitters, while Asian markets primarily are spillover recipients. Our study provides valuable insights on global risk management and prevention for portfolio managers and policy makers.
•Multiplex network includes layers of realized variance, implied variance, and variance risk premium.•Information spreading channels on each layer are different and independent.•Implied variance layer exhibits the strongest spillover effects in the long term.•Most sudden spillover shocks are observed on variance risk premium layer in the short term.•European and US (Asian) markets are prominent spillover emitters (recipients).
We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and ...non-investment-grade (NIG) (0.81% per month) bonds. The economic-uncertainty premium declines as we progressively remove downgraded bonds, indicating that the premium represents an increase in required returns for bonds with higher credit and macroeconomic risk. The economic-uncertainty premia vary across equities and bonds in a manner consistent with the heterogeneous risk-aversion levels of dominant players in equities (retail investors) versus bonds (institutional investors).
This article presents a critical systematic discussion of Shiller's writings from the late 1970s to the present, as well as an examination of the social-psychological assumptions on which his work is ...built. We argue that Shiller's work displays a tension between mimetic and anti-mimetic tendencies, i.e. between understanding financial markets as captured by fads and fashions (mimesis), and at the same time understanding such markets on the basis of a notion of homo economicus (an essentially anti-mimetic figure). Identifying that tension not only sheds novel light on Shiller's work, but also allows us to critically discuss Mirowski's negative appraisal of Shiller's behavioural finance programme. Further, we argue that the mimetic/anti-mimetic tension in Shiller's work can equally be identified in a broader range of theories about financial markets, and that attending to it therefore opens up new lines of inquiry beyond behavioural finance.
We develop a dynamic programming methodology that seeks to maximize investor outcomes over multiple, potentially competing goals (such as upgrading a home, paying college tuition, or maintaining an ...income stream in retirement), even when financial resources are limited. Unlike Monte Carlo approaches currently in wide use in the wealth management industry, our approach uses investor preferences to dynamically make the optimal determination for fulfilling or not fulfilling each goal and for selecting the investor’s investment portfolio. This can be computed quickly, even for numerous investor goals spread over different or concurrent time periods, where each goal may be all-or-nothing or may allow for partial fulfillment. The probabilities of attaining each (full or partial) goal under the optimal scenario are also computed, so the investor can ensure the algorithm accurately reflects their preference for the relative importance of each of their goals. This approach vastly outperforms static portfolio strategies and target-date funds, widely used in the wealth management industry.
Financial inclusion programmes seek to increase access to financial services such as credit, savings, insurance and money transfers. Despite a wealth of systematic review evidence, the impacts of ...financial inclusion are inconclusive. Hence, the first systematic review of systematic reviews was undertaken to synthesize the impacts of financial inclusion interventions on economic, social, gender and behavioural outcomes. Thirty‐two systematic reviews were identified. The headline finding is that impacts are more likely to be positive than negative, but the effects vary, and appear not to be transformative in scope or scale, as they largely occur in the early stages of the causal chain. The effects of financial services on core economic and social poverty indicators are small and inconsistent. There is no evidence for meaningful behaviour‐change outcomes. The effects on women's empowerment appear generally positive, but they depend upon programme features that are often peripheral to the financial service, and cultural and geographical context. Accessing savings opportunities has small but more consistently positive effects for poor people, and bears fewer downside risks for clients than credit. The inconsistent quality of the primary evidence base that formed the basis of their syntheses raises concerns about the reliability of the overall findings.
Are ESG stocks safe-haven during COVID-19? Rubbaniy, Ghulame; Khalid, Ali Awais; Rizwan, Muhammad Faisal ...
Studies in economics and finance (Charlotte, N.C.),
02/2022, Volume:
39, Issue:
2
Journal Article
Peer reviewed
Purpose
The purpose of this study is to investigate safe-haven properties of environmental, social and governance (ESG) stocks in global and emerging ESG stock markets during the times of COVID-19 so ...that portfolio managers and equity market investors could decide to use ESG stocks in their portfolio hedging strategies during times of health and market crisis similar to COVID-19 pandemic.
Design/methodology/approach
The study uses a wavelet coherence framework on four major ESG stock indices from global and emerging stock markets, and two proxies of COVID-19 fear over the period from 5 February 2020 to 18 March 2021.
Findings
The results of the study show a positive co-movement of the global COVID-19 fear index (GFI) with ESG stock indices on the frequency band of 32 to 64 days, which confirms hedging and safe-haven properties of ESG stocks using the health fear proxy of COVID-19. However, the relationship between all indices and GFI is mixed and inconclusive on a frequency of 0–8 days. Further, the findings do not support the safe-haven characteristics of ESG indices using the market fear proxy (IDEMV index) of COVID-19. The robustness analysis using the CBOE VIX as a proxy of market fear supports that ESG indices do not possess safe-haven properties. The results of the study conclude that the safe-haven properties of ESG indices during the ongoing COVID-19 pandemic is contingent upon the proxy of COVID-19 fear.
Practical implications
The findings have important implications for the equity investors and assetty managers to improve their portfolio performance by including ESG stocks in their portfolio choice during the COVID-19 pandemic and similar health crisis. However, their investment decisions could be affected by the choice of COVID-19 proxy.
Originality/value
The authors believe in the originality of the paper due to following reasons. First, to the best of the knowledge, this is the first study investigating the safe-haven properties of ESG stocks. Second, the authors use both health fear (GFI) and market fear (IDEMV index) proxies of COVID-19 to compare whether safe-haven properties are characterized by health fear or market fear due to COVID-19. Finally, the authors use the wavelet coherency framework, which not only takes both time and frequency dimensions of the data into account but also remains unaffected by data stationarity and size issues.
We examine how investor preferences and beliefs affect trading in relation to past gains and losses. The probability of selling as a function of profit is V-shaped; at short holding periods, ...investors are more likely to sell big losers than small ones. There is little evidence of an upward jump in selling at zero profits. These findings provide no clear indication that realization preference explains trading. Furthermore, the disposition effect is not driven by a simple direct preference for selling a stock by virtue of having a gain versus a loss. Trading based on belief revisions can potentially explain these findings.
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