A study of correlation between investor sentiment and stock market based on Copula model

Yao, Can Zhong; Sun, Bo; Lin, Ji Nan

doi:10.1108/k-10-2016-0297

Cited by 10 publications

(4 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Sariannidis et al (2016) examined the reaction of stock market in Europe due to change in weather condition and found that it has affected DJSI (Dow Jones Sustainability Indices) Europe positively. Sayim and Rahman (2015), Yao et al (2017) analyzed that investor sentiment index has a positive relation with the Turkish stock and Shanghai Composite Index, respectively. Sailaja and Mandal (2018) examined the effect of oil price, FIIs, dollar value on auto, IT, bank and energy indices of BSE from 2009 to 2015.…”

Section: Gold Price and Stock Market Movement In Various Countriesmentioning

confidence: 99%

Impact of macroeconomic variables on the performance of stock exchange: a systematic review

Verma

Bansal

2021

IJOEM

View full text Add to dashboard Cite

PurposeThis paper aims to identify various macroeconomic variables that affect the stock market performance of developed and emerging economies. It also investigates the effect of these factors on the stock markets of both economies. The impact of these variables on broad market indices and sectoral indices is investigated and compared too.Design/methodology/approachThe publications for the study were retrieved from databases such as Emerald Insight, EBSCO, ScienceDirect and JSTOR using the keywords “Macroeconomic variables” and “Stock market” or “Stock market performance.” The result demonstrated a growing corpus of scholarly work in the domain of stock market. The study was carried out separately for each macroeconomic indicator. Given a large number of articles under consideration, the authors began by reading the titles and abstracts of all publications to identify those that were relevant. The papers are evaluated in Excel and the articles for review range from 1972 to 2021.FindingsThe authors found that gross domestic product (GDP), FDI (Foreign Direct Investment) and FII (Foreign Institutional Investment) have a positive effect on both emerging and developed economies’ stock market while gold price has a negative effect. Interest rates had a negative impact on both economies except for a few developing countries. The relationship with oil prices was positive for oil exporting countries while negative for oil importing countries. Inflation, money supply and GDP are the macroeconomic variables that have the same effect on sectoral indices as they do on broad market indices. The impact was sector-specific for the remaining variables.Research limitations/implicationsThis paper gives an overview of relation and effect covering variety of macroeconomic variables and stock market indices. Still, there is a scope for further research to analyze the effect on thematic, strategy and sectoral indices. A longer time horizon with new variables, such as bank deposit growth rate, nonperforming assets of banks, consumer confidence index and investor sentiment, can be studied using high-frequency data. This research may help stakeholders adopt and manage their policies during a crisis or economic slump.Practical implicationsThis study will assist investors, researchers and educators in the fields of economics and finance in understanding how macroeconomic factors affect the stock market. Furthermore, this study can guide in portfolio diversification strategy across multiple sectors by examining the impact of macroeconomic factors specific to sectoral indices. This paper provides insight into society and researchers since it integrates a number of macroeconomic variables and their interaction with the stock market. It may also help pension funds and mutual fund firms to hedge their funds and allocate equity portfolios.Originality/valueWith respect to India, this study looked at new macroeconomic variables and sectors. It contrasted the impact of these variables in developed and developing economies. The effect of broad and sectoral stock indexes was also investigated and compared. The authors examined how these variables responded during crisis and economic downturns by using articles from a longer time frame. This research also looked into how changing the frequency of data for the variables altered stock performance. This paper emphasized the need for more research into thematic, strategy and broad market indices, such as small-cap and mid-cap indices.

show abstract

Section: Gold Price and Stock Market Movement In Various Countriesmentioning

confidence: 99%

Impact of macroeconomic variables on the performance of stock exchange: a systematic review

Verma

Bansal

2021

IJOEM

View full text Add to dashboard Cite

show abstract

“…Negative weights correspond to so called 'short sale'. In practice, financial data are often non-Gaussian distributed and the covariance analysis may fails to anticipate cross-correlated extreme events, appearing for many assets simultaneously [6,160]. This typically happens during the crisis, and as non-predicted by the Gaussian model is potentially dangerous for equity holders.…”

Section: Multivariate Gaussian Distributionmentioning

confidence: 99%

Selected Methods for non-Gaussian Data Analysis

Domino

2018

Preprint

View full text Add to dashboard Cite

“…In a top-down approach, among of empirical evidence that concluded sentiment investor as a determinant in a stock market [18], [22], [33], [34], [35], [36](, [37], [38], [39], [40], [41] analyzed financial blogs and online news articles to develop a public mood dynamic prediction model for stock markets. The result assesses the emotional content of commentary on current stock or financial issues that can effectively forecast stock price movement [42].…”

Section: Introductionmentioning

confidence: 99%

Defining and Measuring Microblogging Sentiment Investors on Stock Market: A Literature Review

Fariska¹,

Nugraha²,

Rohandi³

2021

Proceedings of the 5th Global Conference on Business, Management and Entrepreneurship (GCBME 2020)

View full text Add to dashboard Cite

The purpose of this paper is to review microblogging sentiment investors on a literature-based. Focusing on defining and measuring online sentiment investors and understanding their impact on financial market behavior-using scholarly articles to analyze, define, and measure microblogging sentiment investors. All the articles have been classified to measure and underpinnings online investor sentiment theory and other determinants in psychological measure. We have used citation and bibliographic coupling analysis to provide a structure of microblogging sentiment investors. This research also investigates how microblogging forums have become an online platform for exchanging stock information among investors. This paper's result defines investor sentiment research development will further reveal new ways of measuring investor sentiment through big data social media on microblogging sentiment investors construct by identifying authors, cite, references, or keywords.

show abstract

A study of correlation between investor sentiment and stock market based on Copula model

Cited by 10 publications

References 45 publications

Impact of macroeconomic variables on the performance of stock exchange: a systematic review

Impact of macroeconomic variables on the performance of stock exchange: a systematic review

Selected Methods for non-Gaussian Data Analysis

Defining and Measuring Microblogging Sentiment Investors on Stock Market: A Literature Review

Contact Info

Product

Resources

About