Investor Sentiment and Stock Market Volatility: Evidence from India

2016 ◽  
Vol 17 (2) ◽  
pp. 173-202 ◽  
Author(s):  
Jyoti Kumari ◽  
Jitendra Mahakud
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility

scholarly journals Capital Market Response to COVID-19 Pandemic – A Systematic Review on Stock Volatility and Performance

2021 ◽  
pp. 27-49
Author(s):  
Janga Bahadur Hamal ◽  
Rishi Raj Gautam
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Volatility ◽  
Government Response ◽  
Stock Market Performance ◽  
Policy Measures ◽  
And Performance ◽  
The Impact

This paper aims to identify the impact of the COVID-19 pandemic on stock market volatility and market return as well as the impact of government response to the COVID-19 pandemic on stock market performance. To analyze the same, the paper has adopted Systematic Literature Review (SLR) approach and conducted a review of 40 journal articles published between between2020 to mid-2021. The paper identified that the short-term impact of the COVID-19 outbreak and government policy measures had a significant and adverse impact on stock market volatility, return and overall performance. In the longer term, the stock markets slowly started to stabilize and revive. This effect on the stock market was also attributed to investor sentiment and thus, in the later stages, targeted government response had a positive effect on boosting investor confidence towards the market.

scholarly journals ASYMMETRIC IMPACT OF INVESTOR SENTIMENT ON BRAZILIAN STOCK MARKET VOLATILITY

2021 ◽  
Vol 22 (4) ◽  
Author(s):  
TALIEH S. V. FERREIRA ◽  
MÁRCIO A. V. MACHADO ◽  
POLYANDRA Z. P. SILVA
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Design Methodology ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Developed Markets ◽  
Asymmetric Behavior ◽  
Asymmetric Impact ◽  
Book To Market Ratio

ABSTRACT Purpose: The purpose of this study was to analyze the effect of investor sentiment on the volatility of the Brazilian stock market. Specifically, it aimed to identify if the asymmetric behavior of sentiment could be observed in emerging markets, considering companies that have characteristics that are difficult to price. Originality/value: Unlike most studies on investor sentiment, this study focuses on its impact on the stock market volatility, as well as on the characteristics of companies associated with difficult pricing. Design/methodology/approach: The volatility of the IBRX100 index was used to represent the Brazilian stock market, and as a proxy for investor sentiment it was selected Miranda's index (2018), based on market data. Data were estimated using the two-stage least squares (MQ2E) technique to address endogeneity problems. Finally, the volatility of companies with difficult-to-price characteristics was segregated to analyze their sensitivity to sentiment. Findings: The results indicate that sentiment has a negative and sig nificant relationship with the volatility of the Brazilian market, as well as evidences an asymmetrical behavior, being statistically stronger in pessimistic periods. Additional analyzes evidence that the explanatory sentiment capacity is sensitive to companies' characteristics, but only companies with a high book-to-market ratio showed asymmetric behavior, as expected by the literature. The portfolios segmented by size and illiquidity maintained an asymmetric behavior, but it was the volatility of the large companies and the less illiquid ones that were best explained by sentiment, indicating that the Brazilian market has distinctive characteristics in relation to developed markets.

Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective

2019 ◽  
Vol 19 (2) ◽  
pp. 127-153 ◽  
Author(s):  
Michael Graham ◽  
Jussi Nikkinen ◽  
Jarkko Peltomäki
Keyword(s):  
Stock Market ◽  
Emerging Market ◽  
Investor Sentiment ◽  
Jel Classification ◽  
Market Volatility ◽  
Stock Index ◽  
Stock Market Volatility ◽  
Web Based ◽  
Emerging Stock Markets ◽  
Global Investors

This article considers web-based global investors’ crash fears as a gauge of global investors’ fears, and examines its effect on stock market volatility in a sample of emerging stock markets. We show that an increase in global investors’ crash fears significantly affects the volatility of stock index returns in emerging markets. The results are robust to the inclusion of the conventional investor sentiment/fear gauge measure, VIX. Thus broadening the set of measures of global investors’ fears is important when explaining emerging market volatilities. JEL Classification: F30, G11, G15

Stock market volatility, excess returns, and the role of investor sentiment

2002 ◽  
Vol 26 (12) ◽  
pp. 2277-2299 ◽  
Author(s):  
Wayne Y Lee ◽  
Christine X Jiang ◽  
Daniel C Indro
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Excess Returns

scholarly journals The Measurement Method of Investor Sentiment and Its Relationship with Stock Market

2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Jiangshan Hu ◽  
Yunyun Sui ◽  
Fang Ma
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Investor Sentiment ◽  
Principal Component ◽  
Market Volatility ◽  
Response Analysis ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact

Investor sentiment is a hot topic in behavioral finance. How to measure investor sentiment? Is the influence of investor sentiment on the stock market symmetrical? That is all we need to think about. Therefore, this paper firstly selects five emotional proxy variables and constructs an investor sentiment composite index by principal component analysis. Secondly, the MS-VAR model is employed to study the dynamic relationship among investor sentiment, stock market returns, and volatility. Using the model MSIH (2)-VAR (2), we found that the relationship among the investor sentiment, stock returns, and volatility is different in different regimes. The results of orthogonal cumulative impulse response analysis showed that the shock to investor sentiment has a significant impact on stock market returns, and this impact in the bullish stock market is significantly higher than in the bearish stock market. The impact of the shock to stock market returns on investor sentiment and stock market volatility is relatively significant. The shock to stock market volatility has significant effects on the stock market returns. Overall, the influence of investor sentiment on the stock market is asymmetric; that is, in different regimes of the stock market, the impact of investor sentiment on the stock market is different. Realizing this, investors can better understand and grasp the market, guiding their own investment behavior. Other researchers can also further study the measurement of investor sentiment on this basis to better guide investors’ behavior.

scholarly journals An empirical examination of investor sentiment and stock market volatility: evidence from India

2020 ◽  
Vol 6 (1) ◽  
Author(s):  
Haritha P H ◽  
Abdul Rishad
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Principal Component ◽  
Structural Aspect ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Empirical Examination ◽  
Academic Effort ◽  
Good Investment

Abstract Understanding the irrational sentiments of the market participants is necessary for making good investment decisions. Despite the recent academic effort to examine the role of investors’ sentiments in market dynamics, there is a lack of consensus in delineating the structural aspect of market sentiments. This research is an attempt to address this gap. The study explores the role of irrational investors’ sentiments in determining stock market volatility. By employing monthly data on market-related implicit indices, we constructed an irrational sentiment index using principal component analysis. This sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility. The results showed that irrational sentiment significantly causes excess market volatility. Moreover, the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and returns. The findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.

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