Examining Asymmetric Relationship between India VIX, Nifty 50 Returns and Trading Volume: A case of Quantile Regression

This paper investigates herding behavior and the connection between herding behavior and investor sentiment. We apply a Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the KOSPI and KOSDAQ stock markets. The analysis results are outlined as follows. First, we find that herding behavior is exhibited during down-market periods in the KOSPI and KOSDAQ stock markets. However, we show that adverse herding behavior occurs in low-trading volume and low-volatility periods. Second, according to the results of the quantile regression, herding behavior is found in the low and high quantiles of the KOSPI and KOSDAQ stock markets. However, adverse herding behavior is also found, which means that investors herd in extreme market conditions. Third, the relationship between investor sentiment and herding behavior is analyzed through regression and quantile regression, and investor sentiment is confirmed to be one of the important factors that can cause herding behavior in the Korean stock market.

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Weibo Attention and Stock Market Performance: Some Empirical Evidence

Complexity ◽

10.1155/2018/9571848 ◽

2018 ◽

Vol 2018 ◽

pp. 1-8

Author(s):

Minghua Dong ◽

Xiong Xiong ◽

Xiao Li ◽

Dehua Shen

Keyword(s):

Regression Analysis ◽

Stock Market ◽

Quantile Regression ◽

Empirical Evidence ◽

Trading Volume ◽

Market Performance ◽

Correlation Coefficients ◽

Investor Attention ◽

Stock Market Performance ◽

Quantile Regression Analysis

In this paper, we employ Weibo Index as the proxy for investor attention and analyze the relationships between investor attention and stock market performance, i.e., trading volume, return, and volatility. The empirical results firstly show that Weibo attention is positively related to trading volume, intraday volatility, and return. Secondly, there exist bidirectional causal relationships between Weibo attention and stock market performance. Thirdly, we generally find that higher Weibo attention indicates higher correlation coefficients with the quantile regression analysis.

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