FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4313432009> ?p ?o ?g. }

• W4313432009 abstract "Investor sentiment and herding, as two important indicators of investors’ beliefs, both have great impacts on stock market volatility. Based on the daily transaction data in the Chinese stock market, we measure investor sentiment and herding on monthly basis from 2005 to 2020. Then, two indicators are, respectively, introduced to GARCH-MIDAS model for volatility forecasting. Moreover, their forecasting abilities are compared with five GARCH-type models in four crisis periods and two up markets through the model confidence set (MCS) test. We find that herding can better explain the long-term component of volatility than investor sentiment in GARCH-MIDAS model. What is more, both investor sentiment and herding possess excellent out-of-sample forecasting performances. Finally, the forecasting ability of herding is overwhelming compared with investor sentiment in crisis periods, while investor sentiment presents better prediction accuracy than herding in up markets. Our research shows that the forecasting abilities of investor sentiment and herding on volatility may be related to the market states." @default.
• W4313432009 created "2023-01-06" @default.
• W4313432009 creator A5039557924 @default.
• W4313432009 creator A5068998081 @default.
• W4313432009 creator A5083868441 @default.
• W4313432009 date "2023-02-13" @default.
• W4313432009 modified "2023-09-23" @default.
• W4313432009 title "Sentiment, Herding and Volatility Forecasting: Evidence from GARCH-MIDAS Approach" @default.
• W4313432009 cites W1551979996 @default.
• W4313432009 cites W1966916709 @default.
• W4313432009 cites W1968724135 @default.
• W4313432009 cites W1988083705 @default.
• W4313432009 cites W2000303290 @default.
• W4313432009 cites W2007421032 @default.
• W4313432009 cites W2047803175 @default.
• W4313432009 cites W2050643653 @default.
• W4313432009 cites W2056162038 @default.
• W4313432009 cites W2062907497 @default.
• W4313432009 cites W2067331479 @default.
• W4313432009 cites W2071790265 @default.
• W4313432009 cites W2089409887 @default.
• W4313432009 cites W2092156386 @default.
• W4313432009 cites W2140950724 @default.
• W4313432009 cites W2187955744 @default.
• W4313432009 cites W2278369080 @default.
• W4313432009 cites W2574010831 @default.
• W4313432009 cites W2593688467 @default.
• W4313432009 cites W2726130006 @default.
• W4313432009 cites W2734456114 @default.
• W4313432009 cites W2761096802 @default.
• W4313432009 cites W2770053052 @default.
• W4313432009 cites W2853380097 @default.
• W4313432009 cites W2895035495 @default.
• W4313432009 cites W2917532548 @default.
• W4313432009 cites W2935595597 @default.
• W4313432009 cites W2952260360 @default.
• W4313432009 cites W2981130259 @default.
• W4313432009 cites W2994978793 @default.
• W4313432009 cites W3023973397 @default.
• W4313432009 cites W3024693036 @default.
• W4313432009 cites W3048693785 @default.
• W4313432009 cites W3108644057 @default.
• W4313432009 cites W3121467893 @default.
• W4313432009 cites W3121536641 @default.
• W4313432009 cites W3123436100 @default.
• W4313432009 cites W3123509810 @default.
• W4313432009 cites W3125210204 @default.
• W4313432009 cites W3125754252 @default.
• W4313432009 cites W3126609003 @default.
• W4313432009 cites W3139013678 @default.
• W4313432009 cites W3144802214 @default.
• W4313432009 cites W3154628768 @default.
• W4313432009 cites W4205294167 @default.
• W4313432009 cites W4206354772 @default.
• W4313432009 cites W4229080894 @default.
• W4313432009 cites W4242545938 @default.
• W4313432009 cites W4245022299 @default.
• W4313432009 cites W4255461888 @default.
• W4313432009 cites W4299349607 @default.
• W4313432009 doi "https://doi.org/10.1142/s0219477523500153" @default.
• W4313432009 hasPublicationYear "2023" @default.
• W4313432009 type Work @default.
• W4313432009 citedByCount "0" @default.
• W4313432009 crossrefType "journal-article" @default.
• W4313432009 hasAuthorship W4313432009A5039557924 @default.
• W4313432009 hasAuthorship W4313432009A5068998081 @default.
• W4313432009 hasAuthorship W4313432009A5083868441 @default.
• W4313432009 hasConcept C106159729 @default.
• W4313432009 hasConcept C149782125 @default.
• W4313432009 hasConcept C162324750 @default.
• W4313432009 hasConcept C166957645 @default.
• W4313432009 hasConcept C177605951 @default.
• W4313432009 hasConcept C204036174 @default.
• W4313432009 hasConcept C205649164 @default.
• W4313432009 hasConcept C23922673 @default.
• W4313432009 hasConcept C2779343474 @default.
• W4313432009 hasConcept C2780299701 @default.
• W4313432009 hasConcept C2781410264 @default.
• W4313432009 hasConcept C91602232 @default.
• W4313432009 hasConcept C97137747 @default.
• W4313432009 hasConceptScore W4313432009C106159729 @default.
• W4313432009 hasConceptScore W4313432009C149782125 @default.
• W4313432009 hasConceptScore W4313432009C162324750 @default.
• W4313432009 hasConceptScore W4313432009C166957645 @default.
• W4313432009 hasConceptScore W4313432009C177605951 @default.
• W4313432009 hasConceptScore W4313432009C204036174 @default.
• W4313432009 hasConceptScore W4313432009C205649164 @default.
• W4313432009 hasConceptScore W4313432009C23922673 @default.
• W4313432009 hasConceptScore W4313432009C2779343474 @default.
• W4313432009 hasConceptScore W4313432009C2780299701 @default.
• W4313432009 hasConceptScore W4313432009C2781410264 @default.
• W4313432009 hasConceptScore W4313432009C91602232 @default.
• W4313432009 hasConceptScore W4313432009C97137747 @default.
• W4313432009 hasFunder F4320335869 @default.
• W4313432009 hasIssue "02" @default.
• W4313432009 hasLocation W43134320091 @default.
• W4313432009 hasOpenAccess W4313432009 @default.
• W4313432009 hasPrimaryLocation W43134320091 @default.
• W4313432009 hasRelatedWork W1986811129 @default.
• W4313432009 hasRelatedWork W1993181591 @default.

• next