Linkages between Public Sentiments and Stock Market Dynamics in the Context of the Efficient Market Hypothesis

Anton Gerunov

Ikonomiceski i Sotsialni Alternativi, 2014, issue 3, 58-71

Abstract: The paper studies whether the dynamics of stock market indices of twelve EU member states are in accordance with the Efficient Market Hypothesis and if any publicly available information can be used to forecast their movements. We fit GARCH(1,3) models to time series of the indices over the period 01.1998 to 05.2013 at monthly frequency in order to examine the informational efficiency of markets. All models show that some publicly available information is underutilized, which hints at the possibility to increase forecasting accuracy by inclusion of additional variables. Additionally in six out of the twelve studied countries information about the economic expectations of the public can forecast index movements. Those results underline the idea that more complex behaviorally- informed models can improve our understanding of the financial markets dynamics.

Keywords: public sentiments; efficient market hypothesis (search for similar items in EconPapers)
JEL-codes: D84 G14 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.unwe.bg/uploads/Alternatives/4_br_3_2014.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nwe:iisabg:y:2014:i:3:p:58-71

Access Statistics for this article

More articles in Ikonomiceski i Sotsialni Alternativi from University of National and World Economy, Sofia, Bulgaria Contact information at EDIRC.
Bibliographic data for series maintained by Vanya Lazarova ().