A sentiment-based modeling and analysis of stock price during the COVID-19: U- and Swoosh-shaped recovery

  title={A sentiment-based modeling and analysis of stock price during the COVID-19: U- and Swoosh-shaped recovery},
  author={Anish Rai and Ajit Mahata and Md Nurujjaman and Sushovan Majhi and Kanish Debnath},
  journal={Physica a},
  pages={126810 - 126810}

Figures and Tables from this paper


The joint dynamics of investor beliefs and trading during the COVID-19 crash
Following the crash, the average investor turned more pessimistic about the short-run performance of both the stock market and the real economy, and perceived higher probabilities of both further extreme stock market declines and large declines in short- run real economic activity.
Characteristics of 2020 stock market crash: The COVID-19 induced extreme event.
Hilbert-Huang transformation and a structural break analysis have been applied to identify and characterize an EE in the stock market due to the COVID-19 pandemic, and the identification of τ of shock and recovery during an EE will help investors to differentiate between quality and stressed stocks.
Statistical properties of the aftershocks of stock market crashes revisited: Analysis based on the 1987 crash, financial-crisis-2008 and COVID-19 pandemic
During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than a day, termed as mainshock. The effect of a mainshock in the form of aftershocks can be
COVID-19 and the march 2020 stock market crash. Evidence from S&P1500
It is found that natural gas, food, healthcare, and software stocks earn high positive returns, whereas equity values in petroleum, real estate, entertainment, and hospitality sectors fall dramatically, and loser stocks exhibit extreme asymmetric volatility that correlates negatively with stock returns.
Identification of short-term and long-term time scales in stock markets and effect of structural break
Abstract The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales ( τ ) with and without structural break in the stock data. Structural break
Investor Sentiment and the Cross-Section of Stock Returns
We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly
A financial market model with endogenous fundamental values through imitative behavior.
For this model, the stability of the unique steady state, its bifurcations, as well as the emergence of complex behaviors are studied, via analytical and numerical tools, and multistability phenomena is investigated, characterized by the presence of coexisting attractors.
Chinese institutional investors’ sentiment
Abstract We use daily survey data on Chinese institutional investors’ forecasts to measure investors’ sentiment. Our empirical model uncovers that share prices and investor sentiment do not have a
Time Scales and Characteristics of Stock Markets in Different Investment Horizons
Investors adopt varied investment strategies depending on the time scales (τ) of short-term and long-term investment time horizons (ITH). The nature of the market is very different in various
Dividend variability and variance bounds tests for the rationality of stock market prices
Perhaps for as long as there has been a stock market, economists have debated whether or not stock prices rationally reflect the "intrinsic" or fundamental values of the underlying companies. At one