Sebastian Heiden’s research while affiliated with University of Augsburg and other places

... Pan (2018), utilizing Sentix data across multiple asset classes, concludes that sentiment impacts equity markets but not other markets. The emotion of institutional investors predicts returns in the EUR-USD market over several medium-term timeframes but not in the USD/JPY market, according to Heiden et al. (2013). They achieved this by examining changes in exchange prices for two currency pairs, EUR-USD and USD-JPY, using weekly Sentix indexes. ...

Reference:

An application of a R2 dcomposed linkage method to explore a comtemporal and lead connectedness between investor sentiment and exchange rate dynamics in vietnam

... weather effects on stock returns. Subsequent studies have supported the notion that weather, disasters, lunar phases, cloudiness, temperature, wind, etc. affect stock returns (see, for example, Hirshleifer, 2001;Hirshleifer, and Shumway, 2003;Cao and Wei, 2005;Yuan, Zheng, and Zhu, 2006;Kaplanski, and Levy, 2010;Dehaan, Madsen, and Piotroski, 2017;You, Guo, and Peng, 2017;Xu, and Zhou, 2018;Glogger et al., 2019;Erdemlioglu, and Joliet, 2019;Gao et al., in press). ...

Reference:

By the Light of Day: The Effect of the Switch to Winter Time on Stock Markets

... We identified several approaches to understanding whether sentiment is a significant characteristic: 1) applying econometric cross-sectional and time series models to explain stock returns [19,23], 2) constructing portfolios [22,31,43,44], 3) forecasting stock returns [13], and 4) measuring comovement between investor sentiment and stock returns [2]. ...

Reference:

A retail investor in a cobweb of social networks

... Second, we propose cryptocurrency market decomposition into various sectors for the purpose of more efficient performance benchmarking. Finally, our work extends the literature on football and finance (Ashton et al. 2011;Bartling et al. 2015;Ehrmann and Jansen 2016;Bauckloh et al. 2019). ...

Reference:

Football and Cryptocurrencies

... They achieved this by examining changes in exchange prices for two currency pairs, EUR-USD and USD-JPY, using weekly Sentix indexes. According to Schneller et al.'s (2018) analysis of the connection between investor emotion and stock return volatility, investor mood can be used to forecast stock return volatility. ...

Reference:

An application of a R2 dcomposed linkage method to explore a comtemporal and lead connectedness between investor sentiment and exchange rate dynamics in vietnam

... Biswas and Rajib (2011) considered gold, silver and crude the oil futures of the MCX of India and their study supports the SIH for all three commodity futures. Zwergel and Heiden (2012) studied the German stock market and supported the existence of contemporaneous relation between the return and volume. Srinivasan et al. (2016) studied the Indian stock futures market by taking 25 stock futures contracts and found a positive relationship between return and volume of stock futures. ...

Reference:

Does the Base Metal Futures Market of India Support the MDH? An Empirical Evidence

... In order to test this sentiment based explanation, we include various Sentix indices as proxies for variation in investor sentiment in our time-series regressions. 12 Sentix Indices are used to measure investor sentiment in equity (Schmeling 2007), foreign exchange (Heiden, Klein, and Zwergel 2013), and fixed income markets (Afonso et al. 2018). In our analysis we use the Sentix Euro Area Aggregate Index, Sentix Euro Area Breakup Index, Sentix Contagion Index as well as regional (e.g. ...

Reference:

The determinants of liquidity commonality in the Euro-area sovereign bond market

... Their research spanned matches from 39 national teams from 1973 to 2004 and found that defeats significantly depressed the respective country's market index. Klein et al. (2009) researched the relation between national team match outcomes and the respective country's market index for World and European Championship matches, including qualifiers, from 1990 to 2006, involving 14 European teams. Contrary to Edmans et al., they found no significant impact of match results on market indexes. ...

Reference:

Betting on the Market: The Influence of Match-Day Odds on Price Reactions of European Football Clubs