The volatility of daily tug-of-war intensity and stock market returns
Finance Research Letters(2023)
摘要
•VDTWI positively impacts stock market returns.•Neither the level nor abnormal level of daily tug-of-war intensity has a significant predictive role.•Investors benefit from the predictive information of VDTWI.
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关键词
Daily tug of war, Volatility of daily tug-of-war intensity, Return forecasting
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