scholarly journals The Impact of Market Sentiment on Fund Flow

2021 ◽  
Author(s):  
Taoyu Wen ◽  
Boyuan Zhang ◽  
Xijue Zhang
Keyword(s):  
Market Sentiment ◽  
Fund Flow ◽  
The Impact

scholarly journals Building stock market resilience through digital transformation: using Google trends to analyze the impact of COVID-19 pandemic

2020 ◽  
Vol 14 (1) ◽  
Author(s):  
Ding Ding ◽  
Chong Guan ◽  
Calvin M. L. Chan ◽  
Wenting Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Digital Transformation ◽  
Google Trends ◽  
Building Stock ◽  
Market Sentiment ◽  
Price Performance ◽  
Novel Coronavirus ◽  
The Impact

Abstract As the 2019 novel coronavirus disease (COVID-19) pandemic rages globally, its impact has been felt in the stock markets around the world. Amidst the gloomy economic outlook, certain sectors seem to have survived better than others. This paper aims to investigate the sectors that have performed better even as market sentiment is affected by the pandemic. The daily closing stock prices of a total usable sample of 1,567 firms from 37 sectors are first analyzed using a combination of hierarchical clustering and shape-based distance (SBD) measures. Market sentiment is modeled from Google Trends on the COVID-19 pandemic. This is then analyzed against the time series of daily closing stock prices using augmented vector autoregression (VAR). The empirical results indicate that market sentiment towards the pandemic has significant effects on the stock prices of the sectors. Particularly, the stock price performance across sectors is differentiated by the level of the digital transformation of sectors, with those that are most digitally transformed, showing resilience towards negative market sentiment on the pandemic. This study contributes to the existing literature by incorporating search trends to analyze market sentiment, and by showing that digital transformation moderated the stock market resilience of firms against concern over the COVID-19 outbreak.

scholarly journals The Impact of Investor Sentiment on Return of Different Industries in Pakistan

2017 ◽  
pp. 1-23
Author(s):  
Sumayya Chughtai Et al.,
Keyword(s):  
Stock Returns ◽  
Principle Component Analysis ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Differential Impact ◽  
Future Period ◽  
Market Sentiment ◽  
Available Information ◽  
The Impact ◽  
The Relationship

We classify stocks in different industries to measure industrial sentiment based on principle component analysis in order to examine whether investor sentiment exerts a differential impact on stock returns across different industries. After having constructed industry-level sentiment indices we construct a composite investor sentiment index. Our results suggest that investor sentiment negatively affects current as well as future stock returns in Pakistan over the examined period. However, we find that the influence of investor sentiment varies substantially across different industries. We also find that the market sentiment index has a negative relationship with both current and future stock returns. We also show that the direction of the relationship between return and sentiment remains same for the current and future period. This indicates that investors overreact to the available information and mispricing exists for a prolonged time. Our results confirm that sentiment driven mispricing persists for upcoming time and stock markets are not fully efficient to adjust instantaneously.

Impact of volatility and equity market uncertainty on herd behaviour: evidence from UK REITs

2018 ◽  
Vol 11 (2) ◽  
pp. 169-186 ◽  
Author(s):  
Omokolade Akinsomi ◽  
Yener Coskun ◽  
Rangan Gupta ◽  
Chi Keung Marco Lau
Keyword(s):  
Asset Allocation ◽  
Regime Switching ◽  
Stock Exchange ◽  
Equity Market ◽  
Market Uncertainty ◽  
Content Type ◽  
Regime Switching Model ◽  
Switching Model ◽  
Market Sentiment ◽  
The Impact

PurposeThis paper aims to examine herding behaviour among investors and traders in UK-listed Real Estate Investment Trusts (REITs) within three market regimes (low, high and extreme volatility periods) from the period June 2004 to April 2016.Design/methodology/approachObservations of investors in 36 REITs that trade on the London Stock Exchange as at April 2016 were used to analyse herding behaviour among investors and traders of shares of UK REITs, using a Markov regime-switching model.FindingsAlthough a static herding model rejects the existence of herding in REITs markets, estimates from the regime-switching model reveal substantial evidence of herding behaviour within the low volatility regime. Most interestingly, the authors observed a shift from anti-herding behaviour within the high volatility regime to herding behaviour within the low volatility regime, with this having been caused by the FTSE 100 Volatility Index (UK VIX).Originality/valueThe results have various implications for decisions regarding asset allocation, diversification and value management within UK REITs. Market participants and analysts may consider that collective movements and market sentiment/psychology are determinative factors of risk-return in UK REITs. In addition, general uncertainty in the equity market, proxied by the impact of the UK VIX, may also provide a signal for increasing herding-related risks among UK REITs.

Real estate risk, yield modelling and market sentiment: the impact on pricing in European office markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tony McGough ◽  
Jim Berry
Keyword(s):  
Real Estate ◽  
International Capital ◽  
Content Type ◽  
International Capital Markets ◽  
Real Estate Markets ◽  
Market Sentiment ◽  
Office Markets ◽  
Risk Pricing ◽  
Changes In Risk ◽  
The Impact

PurposeThe financial and economic turmoil that resulted from the Global Financial Crisis (GFC), included a marked increase in the volatility in real estate markets. Property asset prices were impacted by the real economy and market sentiment, particularly concerning the determination of risk. In an economic downturn, the perception of investment risk becomes increasingly important relative to overall total returns, and thus impacts on yields and performance of assets. In a recovery phase, and particularly within an environment of historically low government bonds, risk and return compete for importance. The aim of this paper is to assess the interrelationships and impacts on pricing between real estate risk, yield modelling outcomes and market sentiment in selective European city office markets.Design/methodology/approachThis paper specifically considers the modelling of commercial property pricing in relation to the appetite for risk in the financial markets. The paper expands on previous work by determining a specific measure of risk pricing in relationship to changing financial market sentiment. The methodology underpinning the research specifically examines the scope for using national and international risk pricing within specific real estate markets in Europe.FindingsThis paper addresses whether there is a difference between the impact of risk on the pricing of real estate in international versus regional cities in Europe. The analysis, therefore, determines which city centre office markets in Europe have been most impacted by globalisation including the magnitude on real estate prices and market volatility. The outcome of the paper provides important insights into how changes in risk preferences in the international capital markets have driven and continues to drive yield movements under different market conditions.Research limitations/implicationsThe paper considers the driving forces which have led to the volatile movements of yields, emanating from the GFC.Practical implicationsThis paper considers the property market effects on pricing of commercial real estate and the drivers in selected European cities.Originality/valueThe outcome of the paper provides important insights into how changes in risk preferences in the international capital markets have driven and continue to drive the yield movements in different real estate markets in Europe.

Fund Flow Volatility and Performance

2009 ◽  
Vol 45 (1) ◽  
pp. 223-237 ◽  
Author(s):  
David Rakowski
Keyword(s):  
Mutual Fund ◽  
Negative Relationship ◽  
Fund Flows ◽  
Cross Sectional ◽  
Fund Flow ◽  
Performance Differences ◽  
Significant Negative Relationship ◽  
Equity Funds ◽  
And Performance ◽  
The Impact

AbstractThis paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flows and cross-sectional differences in risk-adjusted performance. This relationship is driven by domestic equity funds, as well as small funds, well-performing funds, and funds that experience inflows over the sample period. My results are consistent with performance differences arising from the transaction costs of nondiscretionary trading driven by daily fund flows, but not with performance differences arising from the suboptimal cash holdings that arise from fund flows.

scholarly journals Impact of Paramparagath Krishi Vikas Yojana (an organic agriculture scheme of government of India), National Institute of Agricultural Extension Management (MANAGE), Rajendranagar, Hyderabad – 500030, Telangana State, India. 81 pp.

2020 ◽  
Author(s):  
A Amarender Reddy
Keyword(s):  
Organic Agriculture ◽  
Agricultural Extension ◽  
Conventional Agriculture ◽  
Net Returns ◽  
Fund Flow ◽  
Local Initiatives ◽  
The Government ◽  
Certified Organic ◽  
Implementation Problems ◽  
The Impact

This report examines the impact of the government of India’s organic agriculture scheme – Paramparagat Krishi Vikas Yojana (PKVY). Since the2015-16, the Government of India is promoting organic agriculture under PKVY scheme through the promotion of Participatory Guarantee Scheme (PGS) certified organic clusters. Under PKVY, clusters will be supported by notified regional councils to provide PGS certification. Although the progress is uneven across states, it has the potential for growth in rain fed, remote and hilly areas. There are some implementation problems like lack of local initiatives, lags in fund flow. Due to the practice of organic agriculture, the costs were lower by 10-12 per cent when compared to conventional agriculture, but yields were also lower by 4-5 per cent, the net result is higher net returns by about 10-15 per cent depending on the crop and area. More focus needs to be given for the vertical expansion of the area in identified zones like hilly areas.

scholarly journals Impact Study of Paramparagath Krishi Vikas Yojana (organic agriculture), National Institute of Agricultural Extension Management (MANAGE), Rajendranagar, Hyderabad – 500030, Telangana State, India. 81.pp

2020 ◽  
Author(s):  
A Amarender Reddy
Keyword(s):  
Organic Agriculture ◽  
Impact Study ◽  
Conventional Agriculture ◽  
Net Returns ◽  
Fund Flow ◽  
Local Initiatives ◽  
The Government ◽  
Certified Organic ◽  
Implementation Problems ◽  
The Impact

This report examines the impact of the government of India’s organic agriculture scheme – Paramparagat Krishi Vikas Yojana (PKVY). Since the2015-16, the Government of India is promoting organic agriculture under PKVY scheme through the promotion of Participatory Guarantee Scheme (PGS) certified organic clusters. Under PKVY, clusters will be supported by notified regional councils to provide PGS certification. Although the progress is uneven across states, it has the potential for growth in rain fed, remote and hilly areas. There are some implementation problems like lack of local initiatives, lags in fund flow. Due to the practice of organic agriculture, the costs were lower by 10-12 per cent when compared to conventional agriculture, but yields were also lower by 4-5 per cent, the net result is higher net returns by about 10-15 per cent depending on the crop and area. More focus needs to be given for the vertical expansion of the area in identified zones like hilly areas.

Are Green Fund Investors Really Socially Responsible?

2012 ◽  
Vol 15 (04) ◽  
pp. 1250023 ◽  
Author(s):  
Huimin Chung ◽  
Han-Hsing Lee ◽  
Pei-Chun Tsai
Keyword(s):  
Fund Flows ◽  
Socially Responsible ◽  
Subprime Mortgage ◽  
Fund Flow ◽  
The Social ◽  
Significant Difference ◽  
Mortgage Crisis ◽  
Prior Literature ◽  
Subprime Mortgage Crisis ◽  
The Impact

This paper investigates the performance, fund characteristics, fund flow of green fund and the impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our results show that there is no consistently significant difference between performance of green funds and conventional funds. As for fund characteristics, green funds are more sensitive to market and size risks compared to conventional funds, while they are less sensitive to value and momentum factors than conventional funds. Consistent with prior literature, there exists an asymmetric phenomenon for green funds, that is, fund flows of green funds are significantly related to lagged positive return but not significantly associated with lagged negative returns in normal market conditions. During the subprime mortgage crisis, both mature green and mature conventional funds experienced fund outflows. However, volatility of green funds flows is much lower than their conventional counterparts. Our results suggest that green fund investors can derive utility from the social responsibility attribute, and they are really more socially responsible when making investment decisions.

Do FEARS drive Bitcoin?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tobias Burggraf ◽  
Toan Luu Duc Huynh ◽  
Markus Rudolf ◽  
Mei Wang
Keyword(s):  
Job Search ◽  
Investor Sentiment ◽  
Efficient Market Hypothesis ◽  
Entropy Model ◽  
Content Type ◽  
Household Level ◽  
Market Sentiment ◽  
Search Volume ◽  
Available Information ◽  
The Impact

PurposeThis study examines the prediction power of investor sentiment on Bitcoin return.Design/methodology/approachWe construct a Financial and Economic Attitudes Revealed by Search (FEARS) index using search volume from Google's search engine to reveal household-level (“bankruptcy”, “unemployment”, “job search”, etc.) and market-level sentiment (“bankruptcy”, “unemployment”, “job search”, etc.).FindingsUsing a variety of quantitative methodologies such as the transfer entropy model as well as threshold regression and OLS, GLS and 2SLS estimations, we find that (1) investor sentiment has strong predictive power on Bitcoin, (2) household-level sentiment has larger effects than market-level sentiment and (3) the impact of sentiment is greater in low sentiment regimes than in high sentiment regimes. Based on these information, we build a hypothetical trading strategy that outperforms a simple buy-and-hold strategy both on an absolute and risk-adjusted basis. The results are consistent across cryptocurrencies and regions.Research limitations/implicationsThe findings contribute to the ongoing debate in the literature on the efficiency of cryptocurrency markets. The results reveal that the Bitcoin market is not efficient in the sense of the efficient market hypothesis – asset prices do not fully reflect all available information and we were able to “beat the market”. In addition, it sheds further light on the debate whether Bitcoin can be considered a medium of exchange, i.e. a currency or an investment product. Because investors are reallocating their Bitcoin holdings during times of increased market sentiment due to liquidity needs, they obviously consider bitcoin an investment product rather than a currency.Originality/valueThis study is the first to examine the impact of investor sentiment measured by FEARS on Bitcoin return.

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