scholarly journals Bidirectional relationship between investor sentiment and excess returns: new evidence from the wavelet perspective

2016 ◽  
Vol 23 (18) ◽  
pp. 1305-1311 ◽  
Author(s):  
Martyna Marczak ◽  
Thomas Beissinger
Keyword(s):  
Investor Sentiment ◽  
Excess Returns ◽  
Bidirectional Relationship ◽  
New Evidence

scholarly journals Mood Sensitive Stocks and Sustainable Cross-Sectional Returns During the COVID-19 Pandemic: An Analysis of Day of the Week Effect in the Chinese A-Share Market

2021 ◽  
Vol 12 ◽  
Author(s):  
Qurat ul Ain ◽  
Tamoor Azam ◽  
Tahir Yousaf ◽  
Muhammad Zeeshan Zafar ◽  
Yasmeen Akhtar
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Excess Returns ◽  
Chinese Market ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Day Of The Week ◽  
Stock Market Anomalies ◽  
New Evidence ◽  
A Share

This study examines two stock market anomalies and provides strong evidence of the day-of-the-week effect in the Chinese A-share market during the COVID-19 pandemic. Specifically, we examined the Quality minus Junk (QMJ) strategy return on Monday and FridayQuality stocks mean portfolio deciles that earn higher excess returns. As historical evidences suggest that less distressed/safe stocks earn higher excess returns (Dichev, 1998).. The QMJ factor is similar to the division of speculative and non-speculative stocks described by Birru (2018). Our findings provide evidence that the QMJ strategy gains negative returns on Fridays for both anomalies because the junk side is sensitive to an elevated mood and, thus, performs better than the quality side of portfolios on Friday. Our findings are also consistent with the theory of investor sentiment which asserts that investors are more optimistic when their mood is elevated, and generally individual mood is better on Friday than on other days of the week. Therefore, the speculative stocks earned higher sustainable stock returns during higher volatility in Chinese market due to COVID-19. Intrinsically, new evidence emerges on an inclined strategy to invest in speculative stocks on Fridays during the COVID-19 pandemic to gain sustainable excess returns in the Chinese A-share market.

How does investor sentiment impact stock volatility? New evidence from Shanghai A-shares market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dejun Xie ◽  
Yu Cui ◽  
Yujian Liu
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Chinese Stock Market ◽  
Stock Volatility ◽  
Content Type ◽  
Mixed Frequency ◽  
Frequency Sampling ◽  
The Impact ◽  
New Evidence ◽  
The Relationship

PurposeThe focus of the current research is to examine whether mixed-frequency investor sentiment affects stock volatility in the China A-shares stock market.Design/methodology/approachMixed-frequency sampling models are employed to find the relationship between stock market volatility and mixed-frequency investor sentiment. Principal analysis and MIDAS-GARCH model are used to calibrate the impact of investor sentiment on the large-horizon components of volatility of Shanghai composite stocks.FindingsThe results show that the volatility in Chinese stock market is positively influenced by B–W investor sentiment index, when the sentiment index encompasses weighted mixed frequencies with different horizons. In particular, the impact of mixed-frequency investor sentiment is most significantly on the large-horizon components of volatility. Moreover, it is demonstrated that mixed-frequency sampling model has better explanatory powers than exogenous regression models when accounting for the relationship between investor sentiment and stock volatility.Practical implicationsGiven the various unique features of Chinese stock market and its importance as the major representative of world emerging markets, the findings of the current paper are of particularly scholarly and practical significance by shedding lights to the applicableness GARCH-MIDAS in the focused frontiers.Originality/valueA more accurate and insightful understanding of volatility has always been one of the core scholarly pursuits since the influential structural time series modeling of Engle (1982) and the seminal work of Engle and Rangel (2008) attempting to accommodate macroeconomic factors into volatility models. However, the studies in this regard are so far relatively scarce with mixed conclusions. The current study fills such gaps with improved MIDAS-GARCH approach and new evidence from Shanghai A-share market.

scholarly journals Physical and Psychological Effects of Bariatric Surgery on Obese Adolescents: A Review

2021 ◽  
Vol 8 ◽  
Author(s):  
Cherie A. Roberts
Keyword(s):  
Bariatric Surgery ◽  
Hormonal Changes ◽  
Obese Adolescents ◽  
Co Morbidity ◽  
Bidirectional Relationship ◽  
Anxiety Depression ◽  
New Evidence ◽  
Minimal Research ◽  
Term Data

The worldwide obesity crisis is not isolated to adults; rather, obesity in adolescents has reached epidemic levels as well. Bariatric surgery continues to be one of the most effective treatments for obesity, both in adults and adolescents, with new evidence continually emerging; however, research surrounding outcomes of these procedures in younger patients is limited in comparison with data available for adults. Further, it is important to examine psychological aspects of obesity in adolescents, as well as effects of surgery on mental health endpoints. Conditions such as anxiety, depression, anger, and disruptive behavior show increased prevalence among obese adolescents, but minimal research exists to examine changes in such conditions following bariatric surgery. Additionally, there is growing evidence of a bidirectional relationship between sleep (quality; disorders) and the development of obesity, and the effects of this relationship are particularly pronounced in the vulnerable adolescent population. This review aims to compile and discuss the results of literature within the last 5 years with regard to overall efficacy of bariatric surgery specifically in adolescent patients in terms of weight and body mass index (BMI) reduction, hormonal changes, and co-morbidity resolution, as well as data surrounding sleep and psychological outcomes. Race, ethnicity, and socioeconomic status were also examined. From this review, we conclude that current research supports bariatric surgery in adolescents as an effective method of treatment for obesity and related co-morbidities; however, minimal long-term data exists to adequately assess efficacy and trends into adulthood. These areas are ripe for future study.

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