Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective
Jussi Nikkinen and
Journal of Emerging Market Finance, 2020, vol. 19, issue 2, 127-153
This article considers web-based global investorsâ€™ crash fears as a gauge of global investorsâ€™ fears, and examines its effect on stock market volatility in a sample of emerging stock markets. We show that an increase in global investorsâ€™ crash fears significantly affects the volatility of stock index returns in emerging markets. The results are robust to the inclusion of the conventional investor sentiment/fear gauge measure, VIX. Thus broadening the set of measures of global investorsâ€™ fears is important when explaining emerging market volatilities. JEL Classification: F30, G11, G15
Keywords: Investor fear; volatility; emerging markets; African stock markets (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:19:y:2020:i:2:p:127-153
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