Record Details

Investor Sentiment: Too Contagious to Ignore?

Applied Finance and Accounting

View Archive Info
 
 
Field Value
 
Title Investor Sentiment: Too Contagious to Ignore?
 
Creator Soebhag, Amar
 
Description This article empirically investigates the role of investor sentiment as a determinant of financial contagion during crises periods. The focus is on developed equity markets as well as emerging equity markets during 1990-2015. By using a multivariate GARCH methodology, cross-equity market correlations are documented to be substantially increasing during financial crises. Investor sentiment is negatively related cross-equity market correlation. This inverse relationship becomes even stronger during times of financial crises, indicating the existence of financial contagion. This finding can be motivated by loss-averse and ambiguity-averse investors in equity markets. The relationship between investor sentiment and cross-equity market correlation persists after controlling for trade linkages, financial linkages, and other macroeconomic similarities between countries. The findings are robust to changes in crises definition.
 
Publisher Redfame publishing
 
Contributor —
 
Date 2017-11-22
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://redfame.com/journal/index.php/afa/article/view/2810
10.11114/afa.v4i1.2810
 
Source Applied Finance and Accounting; Vol 4, No 1 (2018); 54-72
2374-2429
2374-2410
 
Language eng
 
Relation http://redfame.com/journal/index.php/afa/article/view/2810/3149
 
Rights Copyright (c) 2017 Applied Finance and Accounting