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
Englisch

Erschienen in
Journal: Financial Innovation ; ISSN: 2199-4730 ; Volume: 6 ; Year: 2020 ; Issue: 1 ; Pages: 1-15 ; Heidelberg: Springer

Klassifikation
Management
Thema
Investor sentiment
Stock market volatility
Principal component analysis
GARCH
Granger causality testcausality test

Ereignis
Geistige Schöpfung
(wer)
Haritha P H
Rishad, Abdul
Ereignis
Veröffentlichung
(wer)
Springer
(wo)
Heidelberg
(wann)
2020

DOI
doi:10.1186/s40854-020-00198-x
Handle
Letzte Aktualisierung
10.03.2025, 11:46 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
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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