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Autor:innen: 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] UTMS Journal of Economics [ISSN:] 1857-6982 [Volume:] 14 [Issue:] 2 [Year:] 2023 [Pages:] 160-165
Verlag: 
University of Tourism and Management, Skopje
Zusammenfassung: 
Financial signals' abrupt spectral changes in temporal scale correspond to the perception bias on risk which is a well-known epistemologically decision-making factor in behavioral finance research. In this paper, we explored the epistemological role of S&P 500 signal's non-stationarity on investors' sentiment formation, by analyzing the time-frequency dependency of investors' sentiment on the S&P 500 through a cross wavelet transform analysis to further explore their wavelet coherence (co-movements). Results indicate that S&P 500 signal's abrupt spectral changes across time do have a statistically significant impact on the investors' sentiment formation. Moreover, a comparative analysis of the wavelet coherences between the Bullish/Bearish market sentiments and the S&P 500's signal, reveals the investors' dynamic (historical) epistemological bias toward risk, which corresponds with the dynamic prospect theory investment preferences.
Schlagwörter: 
signal
sentiment
time
frequency
epistemology
JEL: 
G41
D87
Creative-Commons-Lizenz: 
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