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URL:
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https://ub-madoc.bib.uni-mannheim.de/2577
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URN:
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urn:nbn:de:bsz:180-madoc-25770
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Document Type:
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Working paper
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Year of publication:
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2006
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The title of a journal, publication series:
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Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung
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Volume:
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06-12
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Place of publication:
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Mannheim
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Publication language:
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English
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Institution:
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School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
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MADOC publication series:
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Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
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Subject:
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330 Economics
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Classification:
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JEL:
G1 ,
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Subject headings (SWD):
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Optionsschein , Effektenbank , Privater Anleger , Anlageverhalten
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Keywords (English):
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Sentiment , Bank-issued Warrants , Covered Warrants , Individual Investors , Investor Behavior
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Abstract:
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In this paper, we propose a measure of individual investor sentiment that is derived from the market for bank-issued warrants. Due to a unique warrant transaction data set from a large discount broker we are able to calculate a daily sentiment measure and test whether individual investor sentiment is related to daily stock returns by using vector autoregressive models and Granger causality tests. We find that there exists a mutual influence of sentiment and stock market returns, but only in the very short-run (one and two trading days). Returns have a negative influence on sentiment, while the influence of sentiment on returns is positive for the next trading day. The influence of stock market returns on sentiment is stronger than vice versa. Our sentiment measure simultaneously avoids problems that are associated with existing sentiment measures, which are based on the closed-end fund discount, stock market transactions, the put-call ratio or investor surveys.
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Additional information:
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Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung
Mannheim
06-12
[Working paper]
![[img]](https://madoc.bib.uni-mannheim.de/style/images/fileicons/application_pdf.png)
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