Investors’ Sentiment and Equity Markets During Covid-19 Period: A Quantile Regression Approach and Wavelet Analysis
Ștefan Cristian Gherghina,
Seyed Mehdian,
Ovidiu Stoica
Abstract:The purpose of this study is to investigate the relationship between investor sentiment and leading equity market indices from the U.S., Europe, Asia, and globally between January 2020 and June 2022. The methodological approaches utilized are quantile regression and wavelet analysis. The results of quantile regression suggested that Google Search Volume (GSV) and Twitter-based Market Uncertainty Index (TMU) negatively influenced the equity indices at lower quantiles. The wavelet coherence analysis highlighted … Show more
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