Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index

Szczygielski, Jan Jakub; Charteris, Ailie; Obojska, Lidia; Brzeszczyński, Janusz

doi:10.1016/j.ribaf.2024.102448

Research in International Business and Finance

2024

DOI: 10.1016/j.ribaf.2024.102448

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Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index

Jan Jakub Szczygielski,

Ailie Charteris,

Lidia Obojska

et al.

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The Impact of Sentiment on Realized Higher-Order Moments in the S&P 500: Evidence from the Fear and Greed Index

Ahadzie,

Owusu Junior,

Woode

2024

JRFM

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This study empirically investigates the relationship between realized higher-order moments and the Fear and Greed Index as a measure of sentiments. We estimate daily realized moments using 5 min return data of the S&P 500 index from 3 January 2011 to 18 September 2020. We find that the Fear and Greed Index significantly impacts realized volatility during periods of extreme fear. Additionally, various sentiment indicators influence realized skewness and realized kurtosis. The VIX index significantly reduces realized skewness across all sentiment levels. Bearish and bullish sentiments have a significant negative relationship with negative realized skewness during periods of extreme fear and extreme greed. However, the Fear and Greed Index and bearish and bullish sentiments have a significant positive relationship with positive realized skewness. During extreme fear, the Fear and Greed Index and bearish and bullish sentiments have a significant negative relationship with realized kurtosis. These results remain consistent when considering the non-linear characteristics of the Fear and Greed Index during periods of extreme fear and extreme greed. These findings highlight the relevance of understanding sentiment in financial risk management and its significant relationship with the asymmetric and extremity characteristics of asset returns.

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The Impact of Sentiment on Realized Higher-Order Moments in the S&P 500: Evidence from the Fear and Greed Index

Ahadzie,

Owusu Junior,

Woode

2024

JRFM

View full text Add to dashboard Cite

show abstract

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Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index

Cited by 1 publication

References 128 publications

The Impact of Sentiment on Realized Higher-Order Moments in the S&P 500: Evidence from the Fear and Greed Index

The Impact of Sentiment on Realized Higher-Order Moments in the S&P 500: Evidence from the Fear and Greed Index

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