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Using a novel investor sentiment proxy extracted from Twitter, this paper investigates whether investor sentiment as expressed in daily happiness has predictive power for stock returns in 10 international stock markets. To account for complex relationships between sentiment and stock returns, a Granger non-causality test in quantiles is used. Our empirical results indicate that the causal relations...
This paper investigates the quantile behaviour of cointegration between silver and gold prices by employing the quantile autoregressive distributed lag (QARDL) model. Our empirical results suggest that the existence of cointegration is mainly due to the tail quantiles outside the interquartile range, revealing quantile-dependent (time-varying) cointegrating coefficients which may result in the absence...
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