 Sentiment and Financial Market Connectedness: The Role of Investor HappinessElie Bouri (), Riza Demirer, David Gabauer and Rangan Gupta No 202022, Working Papers from University of Pretoria, Department of Economics Abstract: We examine the relationship between investor sentiment and connectedness patterns across global stock markets within a quantile-on-quantile framework. Our findings show that investor happiness, built on Twitter feed data as a proxy for investor sentiment, has a significant effect on both the return and volatility spillovers across major global stock markets. While the sentiment effect is found to be relatively stronger on volatility spillovers, we observe that the relationship between sentiment and connectedness is asymmetric for return and volatility connectedness and displays quantile specific patterns with distinctly different effects observed for sentiment shocks. The findings suggest that both investors and policy makers should be particularly vigilant against sentiment shocks, in either direction, as these shocks can have significant risk effects, contributing to volatility spillovers globally. Keywords: Advanced Equity Markets; Returns and Volatility; TVP-VAR; Dynamic Connectedness; Investor Happiness; Quantile-on-Quantile Regression (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202022 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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