[go: up one dir, main page]
create a website
Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network. (2019). Duan, Tingting ; Wu, Binghui.
In: Complexity.
RePEc:hin:complx:2946018.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 76

References cited by this document

Cocites: 56

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU.
    In: Papers.
    RePEc:arx:papers:2211.14997.

    Full description at Econpapers || Download paper

  2. The dynamic volatility transmission in the multiscale spillover network of the international stock market. (2020). Jiang, Cheng ; Liu, Xueyong.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:560:y:2020:i:c:s0378437120305987.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Anderson, S. ; Beard, T. R. ; Kim, H. ; Stern, L. V. Fear and Closed-End Fund discounts. In: Applied Economics Letters. 2013. 20 (10) pp. 956-959.

  2. Aslanidis, N. ; Christiansen, C. ; Lambertides, N. ; Savva, C. S. Idiosyncratic volatility puzzle: influence of macro-finance factors. In: Review of Quantitative Finance and Accounting. 2018. pp. 1-21.
    Paper not yet in RePEc: Add citation now

  3. Baker, M. ; Wurgler, J. ; Yuan, Y. Global, local, and contagious investor sentiment. In: Journal of Financial Economics. 2012. 104 (2) pp. 272-287.

  4. Bellelah, M. A. ; Bellelah, M. O. ; Ben Ameur, H. ; Ben Hafsia, R. Does the equity premium puzzle persist during financial crisis? The case of the French equity market. In: Research in International Business and Finance. 2017. 39 pp. 851-866.

  5. Bertella, M. A. ; Pires, F. R. ; Feng, L. ; Stanley, H. E. Confidence and the stock market: an agent-based approach. In: PLoS ONE. 2014. 9 (1) e83488 DOI: 10.1371/journal.pone.0083488.

  6. Bloomfield, R. ; O'Hara, M. ; Saar, G. Hidden liquidity: some new light on dark trading. In: Journal of Finance. 2015. 70 (5) pp. 2227-2274. DOI: 10.1111/jofi.12301.

  7. Bonanno, G. ; Caldarelli, G. ; Lillo, F. ; Mantegna, R. N. Topology of correlation-based minimal spanning trees in real and model markets. In: Physical Review E: Statistical, Nonlinear, and Soft Matter Physics. 2003. 68 (4) 4. 046130 DOI: 10.1103/PhysRevE.68.046130.
    Paper not yet in RePEc: Add citation now

  8. Bookstaber, R. ; Paddrik, M. ; Tivnan, B. An agent-based model for financial vulnerability. In: Journal of Economic Interaction and Coordination. 2018. 13 (2) pp. 433-466.

  9. Calvo, G. A. ; Leiderman, L. ; Reinhart, C. M. Inflows of capital to developing countries in the 1990s. In: Journal of Economic Perspectives (JEP). 1996. 10 (2) pp. 123-139. DOI: 10.1257/jep.10.2.123.

  10. Chen, S.-H. ; Yeh, C.-H. Evolving traders and the business school with genetic programming: a new architecture of the agent-based artificial stock market. In: Journal of Economic Dynamics and Control (JEDC). 2001. 25 (3-4) pp. 363-393. DOI: 10.1016/S0165-1889(00)00030-0.

  11. Chen, W. ; Wei, Y. ; Lang, Q. ; Lin, Y. ; Liu, M. Financial market volatility and contagion effect: a copula-multifractal volatility approach. In: Physica A: Statistical Mechanics and Its Applications. 2014. 398 pp. 289-300. DOI: 10.1016/j.physa.2013.12.016.

  12. Chen, X. ; Tang, L. ; Hu, H. Heterogeneous dividend preferences of chinese individual and institutional investors: evidence from categorized daily share holding data. In: China Finance Review International. 2014. 4 (4) pp. 326-342. DOI: 10.1108/CFRI-11-2012-0107.

  13. Choi, N. ; Skiba, H. Institutional herding in international markets. In: Journal of Banking & Finance. 2015. 55 pp. 246-259.

  14. Chou, R. K. ; Wang, G. H. K. ; Wang, Y.-Y. The impacts of individual day trading strategies on market liquidity and volatility: evidence from the taiwan index futures market. In: Journal of Futures Markets. 2015. 35 (5) pp. 399-425. DOI: 10.1002/fut.21665.

  15. Cont, R. ; Bouchaud, J.-P. Herd behavior and aggregate fluctuations in financial markets. In: Macroeconomic Dynamics. 2000. 4 (2) pp. 170-196.

  16. Cullinan, C. P. ; Zheng, X. Valuation scepticism, liquidity benefits and closed-end fund premiums/discounts: Evidence from fair value disclosures. In: Accounting & Finance. 2014. 54 (3) pp. 729-751.

  17. Daniel, K. ; Hirshleifer, D. Overconfident investors, predictable returns, and excessive trading. In: Journal of Economic Perspectives (JEP). 2015. 29 (4) pp. 61-88.

  18. De Long, J. B. ; Shleifer, A. ; Summers, L. H. ; Waldmann, R. J. Noise trader risk in financial markets. In: Journal of Political Economy. 1990. 98 (4) pp. 703-738. DOI: 10.1086/261703.

  19. Dornbusch, R. ; Park, Y. C. ; Claessens, S. Contagion: understanding how it spreads. In: The World Bank Research Observer. 2000. 15 (2) pp. 177-197. DOI: 10.1093/wbro/15.2.177.

  20. Eichengreen, B. ; Rose, A. K. In: Contagious currency crises: Channels of conveyance. 1999. University of Chicago Press Changes in exchange rates in rapidly developing countries: Theory, practice, and policy issues (NBER-EASE volume 7) DOI: 10.7208/chicago/9780226386935.001.0001.

  21. Emmert-Streib, F. ; Dehmer, M. ; Scalas, E. Influence of the time scale on the construction of financial networks. In: PLoS ONE. 2010. 5 (9) 9. e12884 DOI: 10.1371/journal.pone.0012884.

  22. Förster, M. ; Jorra, M. ; Tillmann, P. The dynamics of international capital flows: Results from a dynamic hierarchical factor model. In: Journal of International Money and Finance. 2014. 48 pp. 101-124.

  23. Helwege, J. Financial firm bankruptcy and systemic risk. In: Journal of International Financial Markets, Institutions & Money. 2010. 20 (1) pp. 1-12.

  24. Hirshleifer, D. Behavioral Finance. In: Annual Review of Financial Economics. 2015. 7 pp. 133-159.
    Paper not yet in RePEc: Add citation now

  25. Hong, S. ; Yang, H. ; Zhao, T. ; Ma, X. Epidemic spreading model of complex dynamical network with the heterogeneity of nodes. In: International Journal of Systems Science. 2016. 47 (11) pp. 2745-2752.

  26. Hou, K. ; Loh, R. K. Have we solved the idiosyncratic volatility puzzle?. In: Journal of Financial Economics. 2016. 121 (1) pp. 167-194.

  27. Iori, G. A microsimulation of traders activity in the stock market: The role of heterogeneity, agent's interactions and trade frictions. In: Journal of Economic Behavior & Organization. 2002. 49 (2) pp. 269-285. DOI: 10.1016/S0167-2681(01)00164-0.

  28. Janus, T. ; Riera-Crichton, D. International gross capital flows: New uses of balance of payments data and application to financial crises. In: Journal of Policy Modeling. 2013. 35 (1) pp. 16-28.

  29. Jones, B. D. ; McDaniel, E. In: Bounded Rationality. 2015. he Wiley Blackwell Encyclopedia of Race, Ethnicity, and Nationalism.
    Paper not yet in RePEc: Add citation now

  30. Karmakar, A. K. In: Contagious fInancial Crises in the rEcent past and Their Implications for India. 2014. New Delhi, India Springer Analytical issues in trade, development and finance DOI: 10.1007/978-81-322-1650-6_30.

  31. Kremer, S. ; Nautz, D. Causes and consequences of short-term institutional herding. In: Journal of Banking & Finance. 2013. 37 (5) pp. 1676-1686.

  32. Kyle, A. S. Continuous auctions and insider trading. In: Econometrica. 1985. 53 (6) pp. 1315-1335. DOI: 10.2307/1913210.

  33. Lee, B. ; Rosenthal, L. ; Veld, C. ; Veld-Merkoulova, Y. Stock market expectations and risk aversion of individual investors. In: International Review of Financial Analysis. 2015. 40 pp. 122-131.

  34. Lenkey, S. L. The closed-end fund puzzle: Management fees and private information. In: Journal of Financial Intermediation. 2015. 24 (1) pp. 112-129.

  35. Li, B. ; Li, Y. Network dynamics of the Chinese stock market Proceedings of the 2014 2nd International Conference on Systems and Informatics (ICSAI) November 2014 Shanghai, China pp. 959-963. DOI: 10.1109/ICSAI.2014.7009424.
    Paper not yet in RePEc: Add citation now

  36. Li, D. ; Ma, J. ; Tian, Z. ; Zhu, H. An evolutionary game for the diffusion of rumor in complex networks. In: Physica A: Statistical Mechanics and its Applications. 2015. 433 pp. 51-58. DOI: 10.1016/j.physa.2015.03.080.

  37. Liang, Z. ; Han, Q. Coherent artificial stock market model based on small world networks. In: Complex Systems and Complexity Science. 2009. 6 (2) pp. 70-76.
    Paper not yet in RePEc: Add citation now
  38. Liu, C. ; Arunkumar, N. Risk prediction and evaluation of transnational transmission of financial crisis based on complex network. In: Cluster Computing. 2018. pp. 1-7.
    Paper not yet in RePEc: Add citation now
  39. Luo, C.-Q. ; Xie, C. ; Yu, C. ; Xu, Y. Measuring financial market risk contagion using dynamic MRS-Copula models: the case of Chinese and other international stock markets. In: Economic Modelling. 2015. 51 (12) pp. 657-671. DOI: 10.1016/j.econmod.2015.09.021.
    Paper not yet in RePEc: Add citation now

  40. Lux, T. ; Marchesi, M. Scaling and criticality in a stochastic multi-agent model of a financial market. In: Nature. 1999. 397 (6719) pp. 498-500. DOI: 10.1038/17290.

  41. Mantegna, R. N. Hierarchical structure in financial markets. In: The European Physical Journal B—Condensed Matter and Complex Systems. 1999. 11 (1) pp. 193-197.

  42. Masson, P. Contagion: Macroeconomic models with multiple equilibria. In: Journal of International Money and Finance. 1999. 18 (4) pp. 587-602.

  43. Mendel, B. ; Shleifer, A. Chasing noise. In: Journal of Financial Economics. 2012. 104 (2) pp. 303-320.
    Paper not yet in RePEc: Add citation now

  44. Meng, Z. ; Yin, K. ; Zhang, Y. ; Dong, X. The risk contagion effect of return volatility between china’s offshore and onshore foreign exchange market. In: Romanian Journal of Economic Forecasting. 2017. 20 (4) pp. 5-21.

  45. Nie, H. ; Zhang, Y. B. ; Chen, J. R. Research of chinese stock market complex network structure. In: International Journal of Economics & Finance. 2015. 7 (5).
    Paper not yet in RePEc: Add citation now
  46. Nobi, A. ; Maeng, S. E. ; Ha, G. G. Structural changes in the minimal spanning tree and the hierarchical network in the Korean stock market around the global financial crisis. In: Journal of the Korean Physical Society. 2015. 66 (8) pp. 1153-1159. DOI: 10.3938/jkps.66.1153.
    Paper not yet in RePEc: Add citation now

  47. Obstfeld, M. ; Taylor, A. M. International monetary relations: taking finance seriously. In: Journal of Economic Perspectives. 2017. 31 (3) pp. 3-28. DOI: 10.1257/jep.31.3.3.

  48. Pan, R. ; Tang, X. ; Tan, Y. ; Zhu, Q. The Chinese stock dividend puzzle. In: Emerging Markets Finance and Trade. 2014. 50 (3) pp. 178-185.

  49. Paruk, Z. ; Petersen, I. ; Bhana, A. ; Bell, C. ; McKay, M. Containment and contagion: How to strengthen families to support youth HIV prevention in South Africa. In: African Journal of AIDS Research. 2005. 4 (1) pp. 57-63.
    Paper not yet in RePEc: Add citation now

  50. Pascual, R. ; Pascual-Fuster, B. ; Climent, F. Cross-listing, price discovery and the informativeness of the trading process. In: Journal of Financial Markets. 2006. 9 (2) pp. 144-161.

  51. Pastor-Satorras, R. ; Castellano, C. ; Van Mieghem, P. ; Vespignani, A. Epidemic processes in complex networks. In: Reviews of Modern Physics. 2015. 87 (3) pp. 925-979. DOI: 10.1103/revmodphys.87.925.
    Paper not yet in RePEc: Add citation now

  52. Ponta, L. ; Trinh, M. ; Raberto, M. ; Scalas, E. ; Cincotti, S. Modeling non-stationarities in high-frequency financial time series. In: Physica A: Statistical Mechanics and its Applications. 2019. 521 pp. 173-196. DOI: 10.1016/j.physa.2019.01.069.

  53. Pour, M. S. H. Malignant melanoma of the oral cavity. In: Journal of Dentistry of Tehran University of Medical Sciences. 2007. 4 (1) pp. 44-51.
    Paper not yet in RePEc: Add citation now

  54. Qiao, H. ; Xia, Y. ; Li, Y. ; Zhou, W. Can network linkage effects determine return? evidence from chinese stock market. In: PLoS ONE. 2016. 11 (6) 25. e0156784 DOI: 10.1371/journal.pone.0156784.

  55. Rachev, S. ; Stoyanov, S. ; Mittnik, S. ; Fabozzi, F. J. In: Behavioral Finance--Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach. 2017. 1710.03211 Cornell University https://arxiv.org/abs/1710.03211.

  56. Ramiah, V. ; Xu, X. ; Moosa, I. A. Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature. In: International Review of Financial Analysis. 2015. 41 pp. 89-100.

  57. Robb, C. A. ; Babiarz, P. ; Woodyard, A. ; Seay, M. C. Bounded rationality and use of alternative financial services. In: Journal of Consumer Affairs. 2015. 49 (2) pp. 407-435. DOI: 10.1111/joca.12071.

  58. Rose, A. K. ; Spiegel, M. M. Cross-Country causes and consequences of the 2008 crisis: international linkages and american exposure. In: Pacific Economic Review. 2010. 15 (3) pp. 340-363. DOI: 10.1111/j.1468-0106.2010.00507.x.

  59. Sarpotdar, P. S. ; Yadav, A. D. Independent verification of Euler's formula in graph theory for n identical circles. In: Bulletin of Pure Applied Sciences-Mathematics and Statistics. 2018. 37 (1) pp. 14.
    Paper not yet in RePEc: Add citation now

  60. Schmitt, N. ; Westerhoff, F. Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models. In: Journal of Evolutionary Economics. 2017. 27 (5) pp. 1041-1070.

  61. Schulman, M. L. ; May, C. E. ; Keys, B. ; Guthrie, A. J. Contagious equine metritis: Artificial reproduction changes the epidemiologic paradigm. In: Veterinary Microbiology. 2013. 167 (1-2) pp. 2-8.
    Paper not yet in RePEc: Add citation now

  62. Sedunov, J. What is the systemic risk exposure of financial institutions?. In: Journal of Financial Stability. 2016. 24 pp. 71-87.

  63. Shapiro, D. ; Zhuang, A. Dividends as a signaling device and the disappearing dividend puzzle. In: Journal of Economics and Business. 2015. 79 pp. 62-81.

  64. Simon, H. A. In: Rationality, bounded. 2017. The new Palgrave dictionary of economics DOI: 10.1057/9781137336583.
    Paper not yet in RePEc: Add citation now

  65. Stambaugh, R. F. ; Yu, J. ; Yuan, Y. Arbitrage asymmetry and the idiosyncratic volatility puzzle. In: Journal of Finance. 2015. 70 (5) pp. 1903-1948. DOI: 10.1111/jofi.12286.

  66. Tuyon, J. ; Ahmad, Z. Behavioural finance perspectives on Malaysian stock market efficiency. In: Borsa Istanbul Review. 2016. 16 (1) pp. 43-61.

  67. Wan, C. ; Li, T. ; Wang, Y. ; Liu, X. Rumor spreading of a SICS model on complex social networks with counter mechanism. In: Open Access Library Journal. 2016. 3 (7) pp. 1-11. DOI: 10.4236/oalib.1102885.
    Paper not yet in RePEc: Add citation now

  68. Wu, B. ; Duan, T. ; He, J. Dynamics evolution of trading strategies of investors in financial market. In: Computational Economics. 2018. 51 (4) pp. 743-760. DOI: 10.1007/s10614-016-9639-3.

  69. Wu, B. ; Duan, T. Agent-based analysis of risk contagion in stock market from perspective of econophysics. In: Journal of Physics: Conference Series. 2018. 1053 pp. 012109 DOI: 10.1088/1742-6596/1053/1/012109.
    Paper not yet in RePEc: Add citation now
  70. Wu, B. ; He, J. Review of financial contagion in countries under opening economy conditions. In: Comparative Economic Social Systems. 2014. 172 (2) pp. 87-96.
    Paper not yet in RePEc: Add citation now
  71. Yang, L.-X. ; Yang, X. ; Liu, J. ; Zhu, Q. ; Gan, C. Epidemics of computer viruses: a complex-network approach. In: Applied Mathematics and Computation. 2013. 219 (16) pp. 8705-8717. DOI: 10.1016/j.amc.2013.02.031.
    Paper not yet in RePEc: Add citation now
  72. Yim, K. ; Oh, G. ; Kim, S. The effect of heterogeneous interactions among traders in an artificial stock market. In: SSRN Electronic Journal. 2015. DOI: 10.2139/ssrn.2574066.
    Paper not yet in RePEc: Add citation now

  73. Zervoudi, E. ; Spyrou, S. The equity premium puzzle: new evidence on the optimal holding period and optimal asset allocation. In: Review of Behavioral Finance. 2016. 8 (1) pp. 39-57.

  74. Zhang, X. ; Ping, J. ; Zhu, T. ; Li, Y. ; Xiong, X. ; Zhou, W. Are price limits effective? an examination of an artificial stock market. In: PLoS ONE. 2016. 11 (8) pp. e0160406 DOI: 10.1371/journal.pone.0160406.

  75. Zhao, Z. ; Chen, D. ; Wang, L. ; Han, C. Credit risk diffusion in supply chain finance: a complex networks perspective. In: Sustainability. 2018. 10 (12) 20. 4608 DOI: 10.3390/su10124608.

  76. Zhu, Y. ; Yang, F. ; Ye, W. Financial contagion behavior analysis based on complex network approach. In: Annals of Operations Research. 2018. 268 (1-2) pp. 93-111.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts. (2023). Kim, Hyeongwoo ; Durmaz, Nazif ; Sun, Yanfei ; Lee, Hyejin.
    In: Auburn Economics Working Paper Series.
    RePEc:abn:wpaper:auwp2023-03.

    Full description at Econpapers || Download paper

  2. Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network. (2019). Duan, Tingting ; Wu, Binghui.
    In: Complexity.
    RePEc:hin:complx:2946018.

    Full description at Econpapers || Download paper

  3. The information content of the sentiment index. (2016). Xing, Yuhang ; Zhang, Xiaoyan ; Wang, Yanchu ; Sibley, Steven E.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:62:y:2016:i:c:p:164-179.

    Full description at Econpapers || Download paper

  4. Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. (2016). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chen, Chen.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:35:y:2016:i:c:p:203-225.

    Full description at Econpapers || Download paper

  5. Investor Sentiment and Employment. (2015). Montone, Maurizio ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150046.

    Full description at Econpapers || Download paper

  6. Sentiment of a society and large-cap stock liquidity. (2015). Bukovina, Jaroslav.
    In: MENDELU Working Papers in Business and Economics.
    RePEc:men:wpaper:56_2015.

    Full description at Econpapers || Download paper

  7. Innovation, investor sentiment, and firm-level experimentation. (2015). Aramonte, Sirio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-67.

    Full description at Econpapers || Download paper

  8. The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach. (2015). Zheng, Yao.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:58:y:2015:i:c:p:128-142.

    Full description at Econpapers || Download paper

  9. The impact of conventional and unconventional monetary policy on investor sentiment. (2015). Lutz, Chandler .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:c:p:89-105.

    Full description at Econpapers || Download paper

  10. What explains the dynamics of 100 anomalies?. (2015). Jacobs, Heiko.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:57:y:2015:i:c:p:65-85.

    Full description at Econpapers || Download paper

  11. The information content of option-implied information for volatility forecasting with investor sentiment. (2015). Kim, Jun Sik ; Seo, Sung Won.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:106-120.

    Full description at Econpapers || Download paper

  12. Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis. (2015). Kadilli, Anjeza .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:21:y:2015:i:c:p:26-45.

    Full description at Econpapers || Download paper

  13. On the determinants of pairs trading profitability. (2015). Weber, Martin ; Jacobs, Heiko.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:23:y:2015:i:c:p:75-97.

    Full description at Econpapers || Download paper

  14. Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes. (2015). Apergis, Nicholas.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:54-62.

    Full description at Econpapers || Download paper

  15. Sentiment in oil markets. (2015). Deeney, Peter ; Bermingham, Adam ; Dowling, Michael ; Cummins, Mark.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:179-185.

    Full description at Econpapers || Download paper

  16. Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress. (2015). Apergis, Nicholas.
    In: Economics Letters.
    RePEc:eee:ecolet:v:136:y:2015:i:c:p:92-94.

    Full description at Econpapers || Download paper

  17. Market sentiment and the Fama–French factor premia. (2015). Kim, Jae ; Shamsuddin, Abul.
    In: Economics Letters.
    RePEc:eee:ecolet:v:136:y:2015:i:c:p:129-132.

    Full description at Econpapers || Download paper

  18. Investor trading behavior, investor sentiment and asset prices. (2015). Yang, Chunpeng ; Zhou, Liyun .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:34:y:2015:i:c:p:42-62.

    Full description at Econpapers || Download paper

  19. Tinker, taper, QE, bye ? the effect of quantitative easing on financial flows to developing countries. (2014). Mohapatra, Sanket ; Lim, Jamus ; Stocker, Marc.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:6820.

    Full description at Econpapers || Download paper

  20. Behavioral Finance. (2014). Hirshleifer, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:59028.

    Full description at Econpapers || Download paper

  21. Investment Decisions: Are we fully-Rational?. (2014). Reichhardt P., Joaquin ; Iqbal, Tabassum .
    In: MPRA Paper.
    RePEc:pra:mprapa:57686.

    Full description at Econpapers || Download paper

  22. IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors. (2014). ben Aissia, Dorsaf .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:3:p:148-154.

    Full description at Econpapers || Download paper

  23. Multi-period sentiment asset pricing model with information. (2014). Li, Jinfang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:34:y:2014:i:c:p:118-130.

    Full description at Econpapers || Download paper

  24. Sentiment contagion in complex networks. (2014). Cui, Hongxin ; Qiu, Xiaoyan ; Wang, Xiaoli ; Huang, Rongbing ; Zhao, Laijun.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:394:y:2014:i:c:p:17-23.

    Full description at Econpapers || Download paper

  25. Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs. (2014). Yang, Chung-Jen ; Tseng, Yung-Ching ; Lee, Hsiu-Chuan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:29:y:2014:i:c:p:35-58.

    Full description at Econpapers || Download paper

  26. The long of it: Odds that investor sentiment spuriously predicts anomaly returns. (2014). Yuan, Yu ; Stambaugh, Robert.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:114:y:2014:i:3:p:613-619.

    Full description at Econpapers || Download paper

  27. Investor sentiment and return predictability of disagreement. (2014). Ryu, Doojin ; Seo, Sung Won ; Kim, Jun Sik.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:42:y:2014:i:c:p:166-178.

    Full description at Econpapers || Download paper

  28. Consumer confidence or the business cycle: What matters more for European expected returns?. (2014). Norholm, Henrik ; Moller, Stig V. ; Rangvid, Jesper .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:230-248.

    Full description at Econpapers || Download paper

  29. Higher order expectations in sentiment asset pricing model. (2014). Cai, Chuangqun ; Yang, Chunpeng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:39:y:2014:i:c:p:95-100.

    Full description at Econpapers || Download paper

  30. Dynamic sentiment asset pricing model. (2014). Yang, Chunpeng ; Zhang, Rengui .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:37:y:2014:i:c:p:362-367.

    Full description at Econpapers || Download paper

  31. Two-period trading sentiment asset pricing model with information. (2014). Yang, Chunpeng ; Li, Jinfang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:36:y:2014:i:c:p:1-7.

    Full description at Econpapers || Download paper

  32. The Global Crisis and Equity Market Contagion. (2014). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1352.

    Full description at Econpapers || Download paper

  33. The Global Crisis and Equity Market Contagion. (2014). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:69:y:2014:i:6:p:2597-2649.

    Full description at Econpapers || Download paper

  34. Born in the USA? Contagious investor sentiment and UK equity returns.. (2013). Green, Christopher ; Hudson, Yawen .
    In: Discussion Paper Series.
    RePEc:lbo:lbowps:2013_13.

    Full description at Econpapers || Download paper

  35. Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?. (2013). Ferrer, Elena ; Santamaria, Rafael ; Corredor, Pilar .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:572-591.

    Full description at Econpapers || Download paper

  36. A sentiment-based explanation of the forward premium puzzle. (2013). Yu, Jianfeng.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:4:p:474-491.

    Full description at Econpapers || Download paper

  37. A case study of short-sale constraints and limits to arbitrage. (2013). Uylangco, Katherine ; Easton, Steve ; Pinder, Sean .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:10:p:3924-3929.

    Full description at Econpapers || Download paper

  38. Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns. (2013). Lee, Hsiu-Chuan ; Chang, Shu-Lien .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:197-216.

    Full description at Econpapers || Download paper

  39. Investor sentiment, information and asset pricing model. (2013). Yang, Chunpeng ; Li, Jinfang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:35:y:2013:i:c:p:436-442.

    Full description at Econpapers || Download paper

  40. Dynamic asset pricing model with heterogeneous sentiments. (2013). Yang, Chunpeng ; Zhang, Rengui .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:248-253.

    Full description at Econpapers || Download paper

  41. Economic Cycles and Expected Stock Returns. (2013). Beber, Alessandro ; Brandt, Michael ; Luisi, Maurizio .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9528.

    Full description at Econpapers || Download paper

  42. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle. (2012). Yuan, Yu ; Stambaugh, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18560.

    Full description at Econpapers || Download paper

  43. The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns. (2012). Yuan, Yu ; Stambaugh, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18231.

    Full description at Econpapers || Download paper

  44. Portfolio diversification dynamics of individual investors: a new measure of investor sentiment. (2012). ROGER, Patrick.
    In: Working Papers of LaRGE Research Center.
    RePEc:lar:wpaper:2012-01.

    Full description at Econpapers || Download paper

  45. The impact of investor sentiment on the German stock market. (2011). Ruenzi, Stefan ; Niessen-Ruenzi, Alexandra ; Finter, Philipp .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1003r.

    Full description at Econpapers || Download paper

  46. Sentiment dynamics and stock returns: the case of the German stock market. (2011). Lux, Thomas.
    In: Empirical Economics.
    RePEc:spr:empeco:v:41:y:2011:i:3:p:663-679.

    Full description at Econpapers || Download paper

  47. Global Asset Pricing. (2011). Lewis, Karen K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17261.

    Full description at Econpapers || Download paper

  48. A sentiment-based explanation of the forward premium puzzle. (2011). Yu, Jianfeng.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:90.

    Full description at Econpapers || Download paper

  49. Global asset pricing. (2011). Lewis, Karen K..
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:88.

    Full description at Econpapers || Download paper

  50. Global crises and equity market contagion. (2011). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20111381.

    Full description at Econpapers || Download paper

  51. How does investor sentiment affect stock market crises?Evidence from panel data. (2011). Beer, Francisca ; Zouaoui, Mohamed ; Nouyrigat, Genevieve .
    In: Working Papers CREGO.
    RePEc:dij:wpfarg:1110304.

    Full description at Econpapers || Download paper

  52. Global crises and equity market contagion. (2011). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8438.

    Full description at Econpapers || Download paper

  53. How does investor sentiment affect stock market crises? Evidence from panel data. (2010). Beer, F. ; Zouaoui, M. ; Nouyrigat, G..
    In: Post-Print.
    RePEc:hal:journl:halshs-00534754.

    Full description at Econpapers || Download paper

  54. What Segments Equity Markets?. (2010). Siegel, Stephan ; Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8142.

    Full description at Econpapers || Download paper

  56. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-22 10:15:32 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.