Sentiment’s effect on the variance of stock returns

Eric Olson and Adam Nowak

Applied Economics Letters, 2020, vol. 27, issue 18, 1469-1473

Abstract: This study examines the effect that sentiment has on the conditional variance of stock returns. We find that the effect is asymmetric and differs depending upon the state of the economy. We also examine whether the effect is time-varying. To capture time-varying effects, we use rolling 10-year windows of daily data in a GARCH (1,1) model that allows positive and negative sentiment to have an asymmetric effect on the conditional variance of stock returns. We find that the negative sentiment has a positive effect on the conditional variance but dissipates after 1970.

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2019.1690123 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:27:y:2020:i:18:p:1469-1473

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2019.1690123

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().