CONTAGIOUS INVESTOR SENTIMENTS AND THEIR VOLATILITIES
CONTAGIOUS INVESTOR SENTIMENTS AND THEIR VOLATILITIES
Author(s): Askar KoshoevSubject(s): Supranational / Global Economy, Financial Markets
Published by: EDITURA ASE
Keywords: Investor sentiments; International stock markets; Sentiments Spillover; Sentiments contagion;
Summary/Abstract: This study examines the cross-country relationships of investor sentiments. Discoveries of linkages across fourteen developed and emerging markets provide evidence of interdependencies. Employing CCI as a proxy for investor sentiments and ARIMA-EGARCH models, this study has successfully captured multiple instances of spillover of sentiments and volatilities. The results suggest that most markets have at least one-directional association with another market by either spreading or being exposed to investor sentiments. Moreover, the division of the sample into pre and post-global crisis periods suggests that the sentiments are becoming more contagious as technologies advance, leading to further integration between the markets.
Journal: The Review of Finance and Banking
- Issue Year: 14/2022
- Issue No: 1
- Page Range: 57-81
- Page Count: 25
- Language: English