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The Effect Of Investor Sentiment On Futures Market Returns And Volatility, Kenneth Steven Lovell
The Effect Of Investor Sentiment On Futures Market Returns And Volatility, Kenneth Steven Lovell
Theses and Dissertations - UTB/UTPA
For over thirty years research has been done on investor sentiment and their effects on market returns and volatility. The theory of De Long et al., (1990) has been used to explain the effect of uninformed investor sentiment (also known as noise trader sentiment) on market returns and volatility. Studies of Wang (2003) and Sanders et al. (2003, 2009) in the futures market have found that uninformed investor sentiment does not affect future market returns, which is contrary to De Long et al. (1990). Also previous studies of investor sentiment in the futures market do not seem to investigate the …
Stock Return Volatility In Emerging Equity Markets: The Relative Effects Of Country And Global Factors, Benjamin Adam Abugri
Stock Return Volatility In Emerging Equity Markets: The Relative Effects Of Country And Global Factors, Benjamin Adam Abugri
Theses and Dissertations - UTB/UTPA
The rapid growth of capital markets in developing countries has come as a major event in recent financial history. According to the International Finance Corporation (IFC), portfolio flows to emerging countries has kept rising since the early 1980s and the trend has continued even after a number of financial crises (IFC, 2000). Probably one of the most commonly known characteristics of these markets is their high volatility compared to the more developed markets. But results of studies on volatilities in these markets are often based on estimates of the variance of market indexes or asset returns over relatively long periods …