Title:On economic uncertainty, stock market predictability and nonlinear spillover effects Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; KYEI, ClementDate:2016Citation:
- The North American journal of economics and finance, 2016, Vol. 36, pp. 184-191
Type:ArticleAbstract:This paper uses a k-th order nonparametric Granger causality test to analyze whether firm-level, economic policy and macroeconomic uncertainty indicators predict movements in real stock returns and their volatility. Linear ...
Title:A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; KYEI, ClementDate:2016Citation:
- Applied economics, 2016, Vol. 48, No. 31, pp. 2895-2898
Type:ArticleAbstract:The popular sentiment-based investor index SBW introduced by Baker and Wurgler (2006, 2007) is shown to have no predictive ability for stock returns. However, Huang et al. (2015) developed a new investor sentiment index, ...