Title

A Turning Point Method For Measuring Investor Sentiment

Authors

Authors

R. R. Sturm

Comments

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Abbreviated Journal Title

J. Behav. Financ.

Keywords

Investor sentiment; Turning points; Volatility; Technical analysis; TECHNICAL ANALYSIS; IDIOSYNCRATIC VOLATILITY; DAILY HIGHS; MARKET; VARIANCE; RETURNS; STOCKS; RANGE; LOWS; Business, Finance; Economics

Abstract

Technical analysis has always been a controversial topic with weak evidence in the literature while behavioral finance has enjoyed success. Yet the objective of technical analysis is to measure investors' behavior, implying the need to reexamine the study of technical methods. This study begins to close the gap in evidence between behavioral finance and technical analysis by developing an objective turning point methodology to infer unobservable investor sentiment. Using Parkinson's [1980] estimate of volatility, the findings indicate that the turning point method not only captures investor sentiment effectively, but more effectively than traditional time-static methods.

Journal Title

Journal of Behavioral Finance

Volume

15

Issue/Number

1

Publication Date

1-1-2014

Document Type

Article

Language

English

First Page

30

Last Page

42

WOS Identifier

WOS:000332270500003

ISSN

1542-7560

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