Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?

Dahmene, Meriam; Boughrara, Adel; Slim, Skander

doi:10.1016/j.iref.2020.10.002

Cited by 23 publications

(11 citation statements)

References 111 publications

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“…Previous studies documented that sentiment indices reflect information that is not already incorporated in other macro variables (Carroll et al 1994;Barsky and Sims 2012). Financial researchers have also demonstrated that sentiment indicators affect stock prices (see, among others, Fisher and Statman 2003;Brown and Cliff 2004;Baker and Stein 2004;Lemmon and Portniaguina 2006;Stambaugh et al 2011;Dahmene et al 2021). To avoid non-stationarity issues, we used the monthly first difference of ESI.…”

Section: Independent Variablesmentioning

confidence: 99%

Eurozone Stock Market Reaction to Monetary Policy Interventions and Other Covariates

Petrakis

Lemonakis

Floros

et al. 2022

JRFM

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The joint effect of the global economic and sovereign debt crisis forced the European Central Bank (ECB) to apply conventional and non-standard expansionary monetary policy interventions in order to stabilize eurozone economies. We conducted a panel regression econometric analysis to study the influence of euro area monetary authority policy interventions, along with two main macroeconomic variables and a sentiment indicator, on market equity returns of eurozone countries for the period January 2007 to December 2017. Our findings suggest that conventional and non-standard monetary policy innovations had a positive lagged impact on equity returns of euro area monetary markets. More specifically, interest rate cuts evenly influenced market indices while non-conventional actions mainly affected core eurozone countries that were less affected by the crisis. We also document a strong negative relationship between inflation rates and market returns. In addition, the sentiment indicator produces positive effects on returns because it contains information that is not incorporated into other macro variables.

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Section: Independent Variablesmentioning

confidence: 99%

Eurozone Stock Market Reaction to Monetary Policy Interventions and Other Covariates

Petrakis

Lemonakis

Floros

et al. 2022

JRFM

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“…2 We follow Chen et al (2021) and use profit recovery as our stability measure . Company stock price evolution could be another output alternative of resilience (Cheema‐Fox et al, 2020), but stock movements can be very noisy at times of crises and driven by external factors, such as changes in expectations or reactions to new crisis‐related policies (Dahmene et al, 2021). Foulon (2020) confirmed that resilience analysis based on the extent of stock price recovery exhibits a large bias as well as low explanatory power.…”

Section: Conceptual Backgroundmentioning

confidence: 99%

Are you resilient? Machine learning prediction of corporate rebound out of the Covid‐19 pandemic

Bughin

2022

Manage Decis Econ

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We use the Covid‐19 crisis to assess how four capability domains that traditionally support corporate performance (agility, innovation, ecosystem play and digitization) can also predict corporate resilience, among global firms. Our results are based on a blend of advanced machine learning techniques that capture the complementarities among capabilities. We confirm that dynamic capabilities boost recovery, but especially when linked with aggressive leadership posture, e.g. rebound is more likely when firms are the main player/orchestrator of their business ecosystems as well as when they invest in disruptive, as opposed to incremental innovations.

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“…To support this idea, studies about analyzing the effects of macroeconomic variables on stock market returns that were, firstly, conducted by Fama (1970) and Ross (1976) are, generally, referred as the theoretical base of this field. In this regard, a significant number of empirical studies have been conducted, especially in recent decades (Dahmene et al, 2021;Heidari et al, 2020;Kurov and Stan, 2018;Gong and Dai, 2017;Bahmani-Oskooee and Saha, 2016;Chatziantoniou et al, 2013;Bjornland and Leitemo, 2009). However, the decisive point here is that in different conditions, periods, and case studies, the role of some factors may become an essential issue for analysis.…”

Section: Literature Reviewmentioning

confidence: 99%

“…whether the relationship between these variables is significant, and how can the results of such researches provide management solutions to investors and policymakers? (see Bernanke, 1995;Mishkin, 2001;Ioannidis and Kontonikas, 2007;Bjornland and Leitemo, 2009;Chao et al, 2011;Chatziantoniou et al, 2013;Laopodis, 2013;Ricci, 2015;Suhaibua et al, 2017;WooPark et al, 2019;Olli-Matti, 2020), while it has been necessary for researchers, in many recent studies, to pay more attention to the nonlinearity of these relationships (see Challe and Giannitsarou, 2014;Zare and Azali, 2015;Kurov and Stan, 2018;Yola, 2019;Cloyne et al, 2020;Thanh et al, 2020;Tiryaki et al, 2020;Dahmene et al, 2021).…”

Section: Monetary Policies and Stock Marketmentioning

confidence: 99%

Exchange Rate Movements and Monetary Policies: Which Has Greater Influence on Petroleum

Bisetoni

Hafshejani

Alirezaei

et al. 2021

IJFIFSA

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The primary purpose of this study is twofold: Firstly, using the Markov Regime Switching model throughout December 2008 to February 2020, it investigates and compares the nonlinear impacts of exchange rate movements and monetary policies on Petroleum Stock Index, PSI, in Iran. Accordingly, some control variables, such as OPEC oil price, inflation rate, and international sanctions, have also been used to model these relationships more accurately. Secondly, it is an empirical attempt to trace the historical changes in the PSI behavior through distinguishing the precise regime numbers, and the relationships between the exogenous variables and the PSI. Our results confirm that the effects of both exchange rate movements and monetary policies on the petroleum stock market return are direct and significant. More interestingly, the more we move from regime one to regime three, the greater the effects of the research variables on the index, except for the impact of OPEC oil prices. Our

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Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?

Cited by 23 publications

References 111 publications

Eurozone Stock Market Reaction to Monetary Policy Interventions and Other Covariates

Eurozone Stock Market Reaction to Monetary Policy Interventions and Other Covariates

Are you resilient? Machine learning prediction of corporate rebound out of the Covid‐19 pandemic

Exchange Rate Movements and Monetary Policies: Which Has Greater Influence on Petroleum

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