Publication detail

Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis

JANKOVÁ, Z.

Original Title

Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis

Type

journal article in Scopus

Language

English

Original Abstract

In this paper we propose to use wavelet analysis to determine the relationship between investor sentiment and stock index. Based on stock indices in various markets and alternative indicators, sentiment using wave analysis uses the intensity and correlation between sentiment and stock index returns in the short and long term. Initially a strong relationship identified by wavelet coherence and phase difference gradually becomes less intense with increasing time horizon. This suggests that overestimation or underestimation in the short term is gradually corrected in the long run. In addition, a stronger relationship can be observed between investor sentiment and stock indices in times of crisis, including COVID-19 pandemics.

Keywords

sentiment index; stock index; stock market; wavelet analysis wavelet coherence

Authors

JANKOVÁ, Z.

Released

7. 10. 2020

Publisher

University of Pardubice, Faculty of Economics and Administration

Location

Pardubice, Czech Republic

ISBN

1804-8048

Periodical

Scientific Papers of the University of Pardubice, Series D

Year of study

28

Number

3

State

Czech Republic

Pages from

1

Pages to

10

Pages count

10

URL

https://editorial.upce.cz/1804-8048/28/3/1105

BibTex

@article{BUT165505,
  author="Zuzana {Janková}",
  title="Sentiment on the Stock Markets: Evidence from the Wavelet Coherence Analysis",
  journal="Scientific Papers of the University of Pardubice, Series D",
  year="2020",
  volume="28",
  number="3",
  pages="1--10",
  issn="1804-8048",
  url="https://editorial.upce.cz/1804-8048/28/3/1105"
}