Economics Commons^™

Two Essays On Investor Emotions And Their Effects In Financial Markets, Jiancheng Shen

Finance Theses & Dissertations

This dissertation provides empirical evidences on media-based investor emotions in predicting stock return, conditional volatility, and stock and bond return comovements.

We first studied the interaction between US media content and the US stock market returns and volatility. We utilize propriety investor sentiment measures developed by Thompson Reuters MarketPsych. We select four measures of investor sentiment that reflect both pessimism and optimism of small investors. Our objective is two-fold. First, we examine the ability of these sentiment measures to predict market returns. For this purpose, we use dynamic Vector Auto-Regressive models. Second, we are interested in exploring the effects of …