Investor Sentiment Sensitivity and Stock Return Volatility

2021 ◽  
Vol 23 (3) ◽  
pp. 1097-1108
Author(s):  
Hyung Chu Lee
Keyword(s):  
Stock Return ◽  
Investor Sentiment ◽  
Return Volatility ◽  
Stock Return Volatility

scholarly journals Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange

2019 ◽  
Vol 7 (1) ◽  
pp. 1600233 ◽  
Author(s):  
Lorraine Rupande ◽  
Hilary Tinotenda Muguto ◽  
Paul-Francois Muzindutsi ◽  
Zhaojun Yang
Keyword(s):  
Stock Return ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Johannesburg Stock Exchange

Investor sentiment and stock return volatility: evidence from the Indian Stock Exchange

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sreenu N ◽  
Suresh Naik
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Return Volatility ◽  
Stock Market Volatility ◽  
Content Type ◽  
Stock Return Volatility

PurposeIn any stock market, volatility is a significant factor in strengthening their asset pricing. The upsurge in volatility in the stock market can activate and bring changes in the financial risk. According to financial conventional theory, the stakeholders (investors) are selected to be balanced and variations in pertinent risk are also to be anticipated due to the outcome of the drive-in basic factors in Indian stock markets. The hypothesis shows that there are actions in systematic and unsystematic risks that are determined by volatility. It is allied to sentiment-driven in the trader movement.Design/methodology/approachThe paper used the methodology of generalized autoregressive conditional heteroskedasticity-in mean GARCH-M and exponential GARCH-M (E-GARCH-M) methods on the Indian stock market. The data have been covered from 2000 to 2019.FindingsFinally, the study suggests that due to the unfitness of the capital asset pricing model (CAPM), the selection has enhanced with sentiment is an important risk factor.Practical implicationsThe investor sentiment and stock return volatility statement are established by using the investor sentiment amalgamated stock market index built.Originality/valueThe outcome of the study shows that there is an important association between stakeholder (investor) sentiment and stock return, in case of volatility behavioural finance can significantly explain the behaviour of stock returns on the Indian Stock Exchange.

Ownership Determinants of Stock Return Volatility

2015 ◽  
Author(s):  
HHkan Jankensggrd ◽  
Anders Wilhelmsson
Keyword(s):  
Stock Return ◽  
Return Volatility ◽  
Stock Return Volatility

scholarly journals Foreign Equity Trading and Average Stock-Return Volatility

2012 ◽  
Author(s):  
Mehmet Umutlu ◽  
Levent Akdeniz ◽  
Aslihan Altay Salih
Keyword(s):  
Stock Return ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Equity Trading
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