A Turning Point Method For Measuring Investor Sentiment

    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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