Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets

Chen, Cathy Yi‐Hsuan; Kuo, I‐Doun

doi:10.1007/s11156-013-0376-6

Cited by 9 publications

(3 citation statements)

References 48 publications

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“…Wang et al (2006) and Spyrou (2012) also report similar results. However, Schmeling (2009) finds bi-directional causality between stock returns and consumer confidence across different countries and Chen and Kuo (2014) shows the similar bidirectional causality using the Conference Board Consumer Confidence Index (CBCCI) as a proxy for consumer confidence.…”

Section: Introductionmentioning

confidence: 88%

“…Liao et al (2011) show that investor sentiment can play a critical role in explaining fund manager herding based on the principal component analysis. Chen and Kuo (2014) investigate how investor sentiment affects the Eurodollar option smile and find a significant relationship between interest rate volatility smile and sentiment. As the use of online trading increases, several studies attempt to create the sentiment index from online stock message boards that measure individual sentiment.…”

Section: Introductionmentioning

confidence: 99%

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Stock prices, dividends, earnings, and investor sentiment

Baek

2015

Rev Quant Finan Acc

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We investigate the relationship between fundamental market variables and investor sentiment. Our study focuses on empirical aspects that have not been explored by previous studies. We find that sentiment is co-integrated with earnings and sentiment changes cause earnings changes. Under extreme market events, however, sentiment changes tend to move more closely together with stock returns. We also find that the predictive power of sentiment changes increases with subsequent medium-term earnings changes and sentiment changes are asymmetrically more sensitive to high earnings. Our study provides a new insight to stock market participants.

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Section: Introductionmentioning

confidence: 88%

Section: Introductionmentioning

confidence: 99%

Stock prices, dividends, earnings, and investor sentiment

Baek

2015

Rev Quant Finan Acc

View full text Add to dashboard Cite

show abstract

“…However, they do not consider the impact of sentiment on interest rate option smile. This paper also expends Chen and Kuo (2013) by looking at the relationship between Eurodollar option smile and investor sentiment with different economic states. More importantly, different survey sentiment measures are used to examine their impact on interest rate option smiles.…”

Section: Introductionmentioning

confidence: 99%