Detail publikačního výsledku

Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis

JANKOVÁ, Z.

Originální název

Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis

Anglický název

Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis

Druh

Článek WoS

Originální abstrakt

In this paper we propose to use wavelet analysis to determine the relationship between investor sentiment and stock index. Based on stock indices in various markets and alternative indicators, sentiment using wave analysis uses the intensity and correlation between sentiment and stock index returns in the short and long term. Initially a strong relationship identified by wavelet coherence and phase difference gradually becomes less intense with increasing time horizon. This suggests that overestimation or underestimation in the short term is gradually corrected in the long run. In addition, a stronger relationship can be observed between investor sentiment and stock indices in times of crisis, including COVID-19 pandemics.

Anglický abstrakt

In this paper we propose to use wavelet analysis to determine the relationship between investor sentiment and stock index. Based on stock indices in various markets and alternative indicators, sentiment using wave analysis uses the intensity and correlation between sentiment and stock index returns in the short and long term. Initially a strong relationship identified by wavelet coherence and phase difference gradually becomes less intense with increasing time horizon. This suggests that overestimation or underestimation in the short term is gradually corrected in the long run. In addition, a stronger relationship can be observed between investor sentiment and stock indices in times of crisis, including COVID-19 pandemics.

Klíčová slova

sentiment index; stock index; stock market; wavelet analysis wavelet coherence

Klíčová slova v angličtině

sentiment index; stock index; stock market; wavelet analysis wavelet coherence

Autoři

JANKOVÁ, Z.

Rok RIV

2021

Vydáno

07.10.2020

Nakladatel

University of Pardubice, Faculty of Economics and Administration

Místo

Pardubice, Czech Republic

ISSN

1804-8048

Periodikum

Scientific Papers of the University of Pardubice-Series D-Faculty of Economics and Administration

Svazek

28

Číslo

3

Stát

Česká republika

Strany od

1

Strany do

10

Strany počet

10

URL

https://editorial.upce.cz/1804-8048/28/3/1105

BibTex

@article{BUT165505,
  author="Zuzana {Janková}",
  title="Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis",
  journal="Scientific Papers of the University of Pardubice-Series D-Faculty of Economics and Administration",
  year="2020",
  volume="28",
  number="3",
  pages="1--10",
  doi="10.46585/sp28031105",
  issn="1211-555X",
  url="https://editorial.upce.cz/1804-8048/28/3/1105"
}