International Investor Sentiment and Emerging Equity Markets in Central and Eastern Europe
Bibliographic record
Abstract
This paper uses the vector Markov switching method of Hamilton (1990) to measure market sentiment in a group of countries. We investigate the apparent co-movement of equity returns in the Czech Republic, Hungary and Poland. We argue that the main underlying forces moving stock returns in small open emerging markets are of an exogenous nature. The main factor driving prices in the region is modeled as an unobservable variable labeled "international investor sentiment". This latent variable is represented as a two-state Markov chain and makes stock returns switch from a growth regime to a depression regime, or in the opposite direction. In such a framework, the stock return process comes from a mixture of two multivariate normal distributions. The estimated latent variable shows significant correlation with a number of data series on global capital flows, mutual fund flows, regional emerging and developed markets' equity returns as well as with other popular market sentiment or economic uncertainty indicators. It does not show a strong association with a comprehensive set of contemporaneous local economic factors with the exception of the quarterly change in industrial production.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".