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Market Volatility and Investor Behavior

Citations

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Cited by:

  1. Maier, Gunther & Herath, Shanaka, 2009. "Real Estate Market Efficiency. A Survey of Literature," SRE-Discussion Papers 2009/07, WU Vienna University of Economics and Business.
  2. Roßbach, Peter, 2001. "Behavioral finance: eine Alternative zur vorherrschenden Kapitalmarkttheorie?," Frankfurt School - Working Paper Series 31, Frankfurt School of Finance and Management.
  3. Alessandra Canepa & Emilio Zanetti Chini & Huthaifa Alqaralleh, 2020. "Global Cities and Local Housing Market Cycles," The Journal of Real Estate Finance and Economics, Springer, vol. 61(4), pages 671-697, November.
  4. Andrea Antico & Giulio Bottazzi & Daniele Giachini, 2022. "On the evolutionary stability of the sentiment investor," LEM Papers Series 2022/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  5. Guerdjikova, Ani, 2006. "Portfolio Choice and Asset Prices in an Economy Populated by Case-Based Decision Makers," Working Papers 06-13, Cornell University, Center for Analytic Economics.
  6. Kaustia, Markku & Lehtoranta, Antti & Puttonen, Vesa, 2013. "Does sophistication affect long-term return expectations? Evidence from financial advisers' exam scores," SAFE Working Paper Series 3, Leibniz Institute for Financial Research SAFE.
  7. John V. Duca, 2005. "Why Have U.S. Households Increasingly Relied On Mutual Funds To Own Equity?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 51(3), pages 375-396, September.
  8. Bossan, Benjamin & Jann, Ole & Hammerstein, Peter, 2015. "The evolution of social learning and its economic consequences," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 266-288.
  9. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
  10. J. Bradford De Long & Richard Grossman, 1992. "Excess Volatility on the London Stock Market, 1870-1990," J. Bradford De Long's Working Papers _133, University of California at Berkeley, Economics Department.
  11. Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack, 2004. "An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(1), pages 1-32, March.
  12. Liang, Pinghan & Guo, Shiqi, 2015. "Social interaction, Internet access and stock market participation—An empirical study in China," Journal of Comparative Economics, Elsevier, vol. 43(4), pages 883-901.
  13. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
  14. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
  15. Michael Seiler & Mark Lane & David Harrison, 2014. "Mimetic Herding Behavior and the Decision to Strategically Default," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 621-653, November.
  16. Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," CEPN Working Papers halshs-02956879, HAL.
  17. Zohrabyan, Tatevik & Leatham, David J. & Bessler, David A., 2008. "Cointegration Analysis of Regional House Prices in U.S," 2007 Agricultural and Rural Finance Markets in Transition, October 4-5, 2007, St. Louis, Missouri 48138, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  18. Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.
  19. Imran Riaz MALIK* & Attaullah SHAH*, 2014. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 24(2), pages 121-142.
  20. Chen, An-Sing & Lin, Shih-Chieh, 2011. "Asymmetrical return on equity mean reversion and catering," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 471-477, February.
  21. Qin Xiao & Gee Kwang Randolph Tan, 2007. "Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles," Urban Studies, Urban Studies Journal Limited, vol. 44(4), pages 865-888, April.
  22. Sethi, Rajiv, 1996. "Endogenous regime switching in speculative markets," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 99-118, March.
  23. Park, Donghyun & Xiao, Qin, 2009. "Housing Prices and the Role of Speculation: The Case of Seoul," ADB Economics Working Paper Series 146, Asian Development Bank.
  24. Choi, Jae Hoon & Munro, David, 2022. "Market liquidity and excess volatility: Theory and experiment," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
  25. Qin XIAO & Randolph TAN GEE KWANG, 2010. "Kalman Filter Estimation of Property Price Bubbles in Seoul," EcoMod2004 330600164, EcoMod.
  26. Baryla Jr., Edward A. & Borghesi, Richard A. & Dare, William H. & Dennis, Steven A., 2007. "Learning, price formation and the early season bias in the NBA," Finance Research Letters, Elsevier, vol. 4(3), pages 155-164, September.
  27. Lagos, Ricardo, 2010. "Asset prices and liquidity in an exchange economy," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 913-930, November.
  28. Federico Bassi & Raquel Ramos & Dany Lang, 2023. "Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 429-472, April.
  29. Alberto Dreassi & Massimiliano Kaucic & Giorgio Valentinuz, 2017. "The Information Content Of Earnings Announcements In The European Insurance Market: An Event Study Analysis," Eurasian Journal of Business and Management, Eurasian Publications, vol. 5(3), pages 1-16.
  30. Sami Al-Suwailem, 2012. "Complexity and Endogenous Instability," ASSRU Discussion Papers 1203, ASSRU - Algorithmic Social Science Research Unit.
  31. Schmitt, Noemi & Westerhoff, Frank, 2021. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
  32. Aerts, Walter & Campenhout, Geert Van & Caneghem, Tom Van, 2008. "Clustering in dividends: Do managers rely on cognitive reference points?," Journal of Economic Psychology, Elsevier, vol. 29(3), pages 276-284, June.
  33. Qingyu, Zhu, 2010. "Regional unemployment and house price determination," MPRA Paper 41785, University Library of Munich, Germany.
  34. Lansing, Kevin J., 2006. "Lock-In Of Extrapolative Expectations In An Asset Pricing Model," Macroeconomic Dynamics, Cambridge University Press, vol. 10(3), pages 317-348, June.
  35. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
  36. Cenci, Marisa & Cerquetti, Annamaria & Peccati, Lorenzo, 1996. "Imitation and stability in a stock market," European Journal of Operational Research, Elsevier, vol. 91(2), pages 301-305, June.
  37. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
  38. Cheng, Feiyang & Wang, Chunfeng & Cui, Xin & Wu, Ji & He, Feng, 2021. "Economic policy uncertainty exposure and stock price bubbles: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
  39. Dow, James & Han, Jungsuk, 2015. "Contractual incompleteness, limited liability and asset price bubbles," Journal of Financial Economics, Elsevier, vol. 116(2), pages 383-409.
  40. Michael Fung, 2013. "A trade-off between non-fundamental risk and incentives," Review of Quantitative Finance and Accounting, Springer, vol. 41(1), pages 29-51, July.
  41. He, Wenjian & Chen, Xiaoyang & Liu, Zhiyong John, 2022. "Can anti-corruption help realize the “strong” Porter Hypothesis in China? Evidence from Chinese manufacturing enterprises," Journal of Asian Economics, Elsevier, vol. 80(C).
  42. Berardi, Michele, 2021. "Uncertainty, sentiments and time-varying risk premia," MPRA Paper 106922, University Library of Munich, Germany.
  43. Thomas Holtfort & Andreas Horsch, 2023. "Social science goes quantum: explaining human decision-making, cognitive biases and Darwinian selection from a quantum perspective," Journal of Bioeconomics, Springer, vol. 25(2), pages 99-116, August.
  44. Hettihewa, Samanthala & Saha, Shrabani & Zhang, Hanxiong, 2018. "Does an aging population influence stock markets? Evidence from New Zealand," Economic Modelling, Elsevier, vol. 75(C), pages 142-158.
  45. Ha, Daesung & Chang, S. J., 1998. "The distribution of transaction intervals in common stock trading," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 103-115.
  46. Liu Yuan & Shang Yan & Shi Jianming & Wang Shouyang, 2016. "A New Investor Sentiment Indicator Based on Return Decomposition," Journal of Systems Science and Information, De Gruyter, vol. 4(2), pages 121-130, April.
  47. Holtfort, Thomas, 2023. "Quantenökonomie: Einfluss der Quantenphysik auf ökonomische Entscheidungsprozesse," Arbeitspapiere der FOM 88, FOM Hochschule für Oekonomie & Management.
  48. Ali Fayyaz Munir & Shahrin Saaid Shaharuddin & Mohd Edil Abd. Sukor, 2020. "Long-Term, Short-Term and Time-Varying Profitability of Reversals: The Role of Market State and Volatility," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 501-520.
  49. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
  50. Mobarek, Asma & Mollah, Sabur & Keasey, Kevin, 2014. "A cross-country analysis of herd behavior in Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 107-127.
  51. Morris, Stephen & Shin, Hyun Song, 1999. "Risk Management with Interdependent Choice," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 15(3), pages 52-62, Autumn.
  52. Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018. "Market efficiency of Baltic stock markets: A fractional integration approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 251-262.
  53. McAdam, Chris, 2020. "Are investors compensated for their sophistication and informedness for company takeovers – An Australian study," Global Finance Journal, Elsevier, vol. 44(C).
  54. Sugato Chakravarty & Asani Sarkar, 1998. "An analysis of brokers' trading with applications to order flow internalization and off-exchange sales," Research Paper 9813, Federal Reserve Bank of New York.
  55. Thomas Delcey, 2019. "Samuelson vs Fama on the Efficient Market Hypothesis: The Point of View of Expertise [Samuelson vs Fama sur l’efficience informationnelle des marchés financiers : le point de vue de l’expertise]," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01618347, HAL.
  56. Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2022. "Boom-bust cycles and asset market participation waves: Momentum, value, risk and herding," BERG Working Paper Series 177, Bamberg University, Bamberg Economic Research Group.
  57. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2021. "The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  58. Tosin B. Fateye & Oluwaseun D. Ajay & Cyril A. Ajay, 2021. "Modelling of Daily Price Volatility of South Africa Property Stock Market Using GARCH Analysis," AfRES 2021-013, African Real Estate Society (AfRES).
  59. Kaustia, Markku & Knüpfer, Samuli, 2012. "Peer performance and stock market entry," Journal of Financial Economics, Elsevier, vol. 104(2), pages 321-338.
  60. ATM Adnan & Sameer Al Johani, 2023. "Stock Market Reaction to COVID-19: A Cross-Sectional Industry Analysis in Frontier Market," IIM Kozhikode Society & Management Review, , vol. 12(2), pages 157-181, July.
  61. Zhao, Dongxu & Li, Kai, 2022. "Bounded rationality, adaptive behaviour, and asset prices," International Review of Financial Analysis, Elsevier, vol. 80(C).
  62. Miles, David, 1993. "Testing for Short Termisn in the UK Stock Market," Economic Journal, Royal Economic Society, vol. 103(421), pages 1379-1396, November.
  63. Schwaiger, Walter S. A., 1995. "A note on GARCH predictable variances and stock market efficiency," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 949-953, August.
  64. BenMabrouk, Houda & Litimi, Houda, 2018. "Cross herding between American industries and the oil market," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 196-205.
  65. Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
  66. Sanjay Dhamija & Ravinder Kumar Arora, 2017. "Determinants of Long-run Performance of Initial Public Offerings: Evidence from India," Vision, , vol. 21(1), pages 35-45, March.
  67. J. Bradford De Long & Andrei Shleifer, "undated". "The Stock Market Bubble of 1929: Evidence from Closed-End Funds," J. Bradford De Long's Working Papers _120, University of California at Berkeley, Economics Department.
  68. Hazel Christie & Susan J Smith & Moira Munro, 2008. "The Emotional Economy of Housing," Environment and Planning A, , vol. 40(10), pages 2296-2312, October.
  69. Shujie Yao & Dan Luo, 2009. "The Economic Psychology of Stock Market Bubbles in China," The World Economy, Wiley Blackwell, vol. 32(5), pages 667-691, May.
  70. Joseph E. Stiglitz, 2017. "The Revolution of Information Economics: The Past and the Future," NBER Working Papers 23780, National Bureau of Economic Research, Inc.
  71. Ajay Kumar Chauhan & Barnali Chaklader, 2023. "Do Local Investors Exhibit Smart Value Investment? Empirical Evidence from India," Global Business Review, International Management Institute, vol. 24(5), pages 833-844, October.
  72. Bhattacharya, Arnab, 2017. "Innovations in new venture financing: Evidence from Indian SME IPOs," Global Finance Journal, Elsevier, vol. 34(C), pages 72-88.
  73. Imran Riaz Malik, Attaullah Shah, 2019. "Impact of Single Stock Futures on Feedback Trading, Trading Volume and Volatility: A Modified Approach," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 15-29, October.
  74. David M Harrison & Mark A. Lane & Michael J. Seiler, 2014. "Mimetic Herding Behavior and the Decision to Strategically Default," Framed Field Experiments 00625, The Field Experiments Website.
  75. Antonios Antoniou & Gregory Koutmos & Gioia Pescetto, 2011. "Testing for Long Memory in the Feedback Mechanism in the Futures Markets," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(2), pages 78-90, September.
  76. Sung, Ming-Chien & Johnson, Johnnie E.V. & McDonald, David C.J., 2016. "Informed trading, market efficiency and volatility," Economics Letters, Elsevier, vol. 149(C), pages 56-59.
  77. Xu, Hai-Chuan & Zhang, Wei & Xiong, Xiong & Wang, Xue & Zhou, Wei-Xing, 2021. "The double-edged role of social learning: Flash crash and lower total volatility," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 405-420.
  78. Guidolin, Massimo, 2006. "Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle," Journal of Economics and Business, Elsevier, vol. 58(2), pages 85-118.
  79. Ali Fayyaz Munir & Mohd Edil Abd. Sukor & Shahrin Saaid Shaharuddin, 2022. "Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia," SAGE Open, , vol. 12(1), pages 21582440211, January.
  80. Suwan (Cheng) Long & Brian Lucey & Ying Xie & Larisa Yarovaya, 2023. "“I just like the stock”: The role of Reddit sentiment in the GameStop share rally," The Financial Review, Eastern Finance Association, vol. 58(1), pages 19-37, February.
  81. Zhu, Zhen, 1996. "Persistent exchange-rate misalignment, noneconomic fundamentals and exchange-rate target zones," International Review of Economics & Finance, Elsevier, vol. 5(1), pages 1-19.
  82. Chen, Yu & Wang, Zhicheng & Zhang, Zhengjun, 2019. "Mark to market value at risk," Journal of Econometrics, Elsevier, vol. 208(1), pages 299-321.
  83. Chakrabarti, Rajesh & Roll, Richard, 1999. "Learning from others, reacting, and market quality1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 153-178, May.
  84. B. De Backer, 2018. "Does financial market volatility influence the real economy?," Economic Review, National Bank of Belgium, issue iv, pages 107-124, december.
  85. Browne, Frank & Conefrey, Thomas & Kennedy, Gerard, 2013. "Understanding Irish house price movements - a user cost of capital approach," Research Technical Papers 04/RT/13, Central Bank of Ireland.
  86. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.
  87. Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim, 2014. "Predictable markets? A news-driven model of the stock market," MPRA Paper 58831, University Library of Munich, Germany.
  88. Canepa, Alessandra & Zanetti Chini, Emilio & Alqaralleh, Huthaifa, 2019. "Modelling Housing Market Cycles in Global Cities," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201901, University of Turin.
  89. Qin Xiao & Donghyun Park, 2010. "Seoul housing prices and the role of speculation," Empirical Economics, Springer, vol. 38(3), pages 619-644, June.
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