A Turning Point Method For Measuring Investor Sentiment
Abbreviated Journal Title
J. Behav. Financ.
Investor sentiment; Turning points; Volatility; Technical analysis; TECHNICAL ANALYSIS; IDIOSYNCRATIC VOLATILITY; DAILY HIGHS; MARKET; VARIANCE; RETURNS; STOCKS; RANGE; LOWS; Business, Finance; Economics
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  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 of Behavioral Finance
"A Turning Point Method For Measuring Investor Sentiment" (2014). Faculty Bibliography 2010s. 6139.