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    Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors

    This paper seeks to examine the unidirectional versus bidirectional Granger causality between investors’ sentiment and momentum strategies. It is based on the full sample Granger causality test and the recent ...

    Mohamed Sahbi Nakhli, Abderrazak Dhaoui, Julien Chevallier in Annals of Finance (2022)