Wang, Yaw-Huei
[Verfasser:in]
;
Keswani, Aneel
[Sonstige Person, Familie und Körperschaft];
Taylor, Stephen J.
[Sonstige Person, Familie und Körperschaft]
The Relationships between Sentiment, Returns and Volatility
Anmerkungen:
In: EFMA 2004 Basel Meetings Paper
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2006 erstellt
Beschreibung:
Previous papers that test whether sentiment is useful for predicting volatility ignore whether lagged returns information might also be useful for this purpose. By doing so, these papers potentially overestimate the role of sentiment in predicting volatility. In this paper we test whether sentiment is useful for volatility forecasting purposes. We find that most of our sentiment measures are caused by returns and volatility rather than vice versa. In addition, we find that lagged returns cause volatility. All sentiment variables have extremely limited forecasting power once returns are included as a forecasting variable