Contagious investor sentiments and their volatilities
The Review of Finance and Banking, 2022, vol. 14, issue 1, 57-81
This study examines the cross-country relationships of investor sentiments. Discoveries of linkages across fourteen developed and emerging markets provide evidence of interdependencies. Employing CCI as a proxy for investor sentiments and ARIMA-EGARCH models, this study has successfully captured multiple instances of spillover of sentiments and volatilities. The results suggest that most markets have at least one-directional association with another market by either spreading or being exposed to investor sentiments. Moreover, the division of the sample into pre and post-global crisis periods suggests that the sentiments are becoming more contagious as technologies advance, leading to further integration between the markets.
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Persistent link: https://EconPapers.repec.org/RePEc:rfb:journl:v:14:y:2022:i:1:p:57-81
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The Review of Finance and Banking is currently edited by Victor Dragota; Bogdan Negrea
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