Artikel
An empirical examination of investor sentiment and stock market volatility: Evidence from India
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Financial Innovation ; ISSN: 2199-4730 ; Volume: 6 ; Year: 2020 ; Issue: 1 ; Pages: 1-15 ; Heidelberg: Springer
- Klassifikation
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Management
- Thema
-
Investor sentiment
Stock market volatility
Principal component analysis
GARCH
Granger causality testcausality test
- Ereignis
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Geistige Schöpfung
- (wer)
-
Haritha P H
Rishad, Abdul
- Ereignis
-
Veröffentlichung
- (wer)
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Springer
- (wo)
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Heidelberg
- (wann)
-
2020
- DOI
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doi:10.1186/s40854-020-00198-x
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:46 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Haritha P H
- Rishad, Abdul
- Springer
Entstanden
- 2020
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