Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/117331
Authors: 
Marczak, Martyna
Beissinger, Thomas
Year of Publication: 
2015
Series/Report no.: 
Hohenheim Discussion Papers in Business, Economics and Social Sciences 06-2015
Abstract: 
This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle allows for decoupling short- and long-run relations and is additionally capable of identifying time-varying comovement patterns. By applying this concept to excess returns of the monthly S&P500 index and two alternative monthly US sentiment indicators we find that in the short run (until 3 months) sentiment is leading returns whereas for periods above 3 months the opposite can be observed.
Subjects: 
wavelet phase angle
wavelet analysis
sentiment indicator
excess returns
speculative bubble
stock market
JEL: 
G11
G14
C22
C32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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