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CC BY-NC-ND 4.0
Investor heterogeneity and stock market volatility: cross-country evidence from an extended heterogeneous agent model
We study how investor heterogeneity relates to stock-market volatility in a cross-country setting using an extended fundamentalist–chartist heterogeneous agent model (HAM). We propose a time-varying heterogeneity intensity measure that combines belief differentials with endogenous investor compositi
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