Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets

Andleeb, Rameeza; Hassan, Arshad

doi:10.1007/s10690-024-09449-8

Asia-Pac Financ Markets

2024

DOI: 10.1007/s10690-024-09449-8

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Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets

Rameeza Andleeb,

Arshad Hassan

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2024

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Cited by 3 publications

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Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?

Yang,

Chuang

2024

Asia-Pac Financ Markets

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Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?

Yang,

Chuang

2024

Asia-Pac Financ Markets

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Risk Perception as a Predictor of Heuristic Biases: The Role of Sex and Age

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Chishty

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Asia-Pac Financ Markets

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Web Semantic Analysis of Investor Sentiment, Short Trading, and Stock Market Volatility

Fang,

Zhou

2024

International Journal on Semantic Web and Information Systems

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This paper develops a novel investor sentiment index using a MF-DFM based on ten years' worth of daily trading data of the CSI 300 index. By employing a TVP-SV-VAR model, it examines the interplay between investor sentiment, short trading, and stock market volatility. Furthermore, the study explores time-varying nonlinear effects under different market conditions. The findings reveal that investor sentiment heightens market volatility, while an increase in short trading volume tends to reduce it. The impact of investor sentiment on short trading volume is multifaceted and varies depending on the scenario. Further analysis suggests that investor sentiment and stock market volatility can reinforce each other in bull markets. In contrast, bear markets see investors strategically using securities lending for short trading and risk hedging, which indicates a substitution effect between the stock market and the securities lending market. This study has implications for promoting the healthy development of financial markets.

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Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets

Cited by 3 publications

References 54 publications

Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?

Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?

Risk Perception as a Predictor of Heuristic Biases: The Role of Sex and Age

Web Semantic Analysis of Investor Sentiment, Short Trading, and Stock Market Volatility

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