Investor sentiment and statistical moments of the return distribution in the German stock market. A three stage empirical analysis.
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Hövel, Emile DavidFecha
2023Disciplina/s
Administración y Dirección de EmpresasMateria/s
Distribución de la rentabilidadSentimiento de los inversores
Modelos multifactoriales
Análisis de componentes principales
Redes de gran memoria de corto plazo
Red neuronal recurrente artificial
Procesamiento de lenguajes naturales
Mercado de valores alemán
Resumen
This dissertation contributes to an increasing body of literature through a holistic perspective in research and model development to investigate the relationships between investor sentiment and the lower- and higher-order statistics of the return distribution in the German stock market utilizing the market-wide CDAX stock index as an exemplary sample.
Since empirical studies on investor sentiment are conducted mainly with USmarket-based data, comparatively few academic contributions are made to the German investor sentiment literature. Moreover, previous findings for other countries cannot necessarily be generalized to Germany, especially as Germany appears to be mainly influenced by global trends and investor sentiments owing to its high dependence on foreign trade.
Consequently, the empirical evidence for Germany in this research domain, which includes both cross-sectional and longitudinal perspectives, is sparse. As various approaches exist to measure and assess the links bet...