Using the Dow Jones Industrial Average Index record breaking days as a proxy for market wide attention, we show that as the aggregate stock market intensifies investor attention, stock market response to individual firms’ earnings announcements significantly increases. We hypothesize that there are many channels for the attention spill-over effect and document strong supportive evidence of one ...

a r t i c l e i n f o Keywords: Investor sentiment Stock returns Chinese A-share stock market Firm characteristics Penalized panel quantile regression model This paper employs the panel quantile regression model to study the nonlinear effect of investor sentiment on monthly stock returns in the Chinese A-share stock market. The findings show that the influence of investor sentiment is significa...

generally, high oil prices slow economic growth, cause inflationary pressures and creates global imbalances. in addition, oil price volatility increase uncertainty and restrain the much-needed investment in the capital market. thus, this paper applies the augmented dickey fuller and johansen co-integration tests in which the effect of oil price volatility, crude oil price and stock price is ana...

The paper examines the extent to which the conditional volatility of stock market returns in a small, internationally integrated stock market are related to the conditional volatility of financial and business cycle variables. It employs a low frequency monthly dataset for Australia including stock market returns, interest rates, inflation, the money supply, industrial production and the curren...

The Santa Fe Arti cial Stock Market consists of a central computational market and a number of arti cially intelligent agents The agents choose be tween investing in a stock and leaving their money in the bank which pays a xed interest rate The stock pays a stochastic dividend and has a price which uc tuates according to agent demand The agents make their investment decisions by attempting to f...

herd behavior by investors in capital markets is a behavioral bias that can cause to undesirable effects such as bubble, crash and high fluctuation in stock price. this anomalies can disturb the equilibrium relations in stock market and lead to market inefficiency. herd behavior is a condition that investors with rational or in rational reasons ignore private information and imitate from others...

The volatility of stock market indicators goes beyond anyone’s reasonable explanations. Industry performance, economic, and political changes are among the major factors that can affect the stock market. This paper focuses on the effect of news that surfaces throughout the day in the stock market. While there are many influences behind the constant changes in stock market performance, we can st...