Stock market return predictability: Google pessimistic sentiments versus fear gauge

Artikel

This study aims at comparing Google Search Volume Indices (GSVIs-including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger cause the GSVIs more robustly. In addition, in vector auto-regression model, VIX has more prominent effect of its past values on both Google indices. Finally, using the autoregressive distributed lag (ARDL) and nonlinear ARDL models, contrary to prior literature, we find significant symmetric negative relationship between changes in VIX and S&P 500 returns.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 5 ; Year: 2017 ; Issue: 1 ; Pages: 1-15 ; Abingdon: Taylor & Francis

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: investors'pessimistic sentiments ; Google Search Volume ; ARDL ; NARDL ; stock market returns ; volatility index

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Habibah, Ume ; Rajput, Suresh ; Sadhwani, Ranjeeta
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2017

Weitere Informationen

• DOI: doi:10.1080/23322039.2017.1390897
• Handle: http://hdl.handle.net/10419/194732
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ