The contribution of investor sentiment in explaining stock market crises: a panel data analysis

L'apport du sentiment de l'investisseur dans l'explication des crises boursières: une analyse en données de panel

Mohamed Zouaoui, Geneviève Nouyrigat () and Francisca Beer
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Geneviève Nouyrigat: CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique

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Abstract: A lively debate on the link between investor behaviour and financial markets has developed over the last decade. Our present study tests the impact of investor sentiment on a panel of international stock markets and the influence of investor sentiment on the probability of stock market crises. Our results show that stock market crises are preceded by periods of rising investor euphoria, and the higher the level of investor sentiment, the greater the probability of a crisis occurring within 1 year.

Date: 2011-04-01
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Published in Revue management & avenir, 2011, n° 41 (1), pp.351-368. ⟨10.3917/mav.041.0351⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04533468

DOI: 10.3917/mav.041.0351

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