Buy-sell imbalance and the mean-variance relation

被引：6
|
作者：
Yang, Chunpeng [1 ]
Jia, Yun [1 ]
机构：
[1] South China Univ Technol, Sch Econ & Commerce, Finance & Secur Ctr, Guangzhou 510006, Guangdong, Peoples R China
来源：
PACIFIC-BASIN FINANCE JOURNAL | 2016年 / 40卷
基金：
国家教育部博士点专项基金资助;
关键词：
Buy-sell imbalance; Mean-variance relation; Time-varying effect; Volatility; RISK-RETURN TRADEOFF; STOCK RETURNS; INVESTOR SENTIMENT; VOLATILITY; MODEL; MARKETS;
D O I：
10.1016/j.pacfin.2016.08.007
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Buy-sell imbalance is a crucial behavioral factor in the stock market. This paper emphasizes that buy-sell imbalance plays a systematic role in the market's mean-variance relation. Besides, the influence of buy-sell imbalance on the market's mean-variance relation is time-varying. As buy-sell imbalance is negative, the market's mean-variance relation is significantly negative; as buy-sell imbalance is positive, the market's mean-variance relation is insignificant. Furthermore, our analyses are robust across different conditional variance models and market portfolios with different values of stock capitalization. (C) 2016 Elsevier B.V. All rights reserved.
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页码：49 / 58
页数：10
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