dc.contributor.author |
Bouri, Elie
|
|
dc.contributor.author |
Demirer, Riza
|
|
dc.contributor.author |
Gabauer, David
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|
dc.contributor.author |
Gupta, Rangan
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dc.date.accessioned |
2022-03-11T07:22:38Z |
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dc.date.issued |
2022-01 |
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dc.description.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 has a significant effect on both the return and volatility spillovers across global stock markets. While the sentiment effect is found to be relatively strong on volatility spillovers, we observe that the relationship between sentiment and connectedness is asymmetric for return and volatility connectedness. 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. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2023-01-05 |
|
dc.description.librarian |
hj2022 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/frl |
en_ZA |
dc.identifier.citation |
Bouri, E., Demirer, R., Gabauer, D. & Gupta, R. 2022, 'Financial market connectedness : the role of investors' happiness', Finance Research Letters, vol. 44, art. 102075, pp. 1-8, doi : 10.1016/j.frl.2021.102075. |
en_ZA |
dc.identifier.issn |
1544-6123 (print) |
|
dc.identifier.issn |
1544-6131 (online) |
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dc.identifier.other |
10.1016/j.frl.2021.102075 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/84441 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2021 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 44, art. 102075, pp. 1-8, 2022. doi : 10.1016/j.frl.2021.102075. |
en_ZA |
dc.subject |
Equity markets |
en_ZA |
dc.subject |
Investor happiness |
en_ZA |
dc.subject |
Time-varying parameter vector autoregressive (TVP-VAR) |
en_ZA |
dc.subject |
Dynamic connectedness |
en_ZA |
dc.subject |
Quantile-on-quantile approach |
en_ZA |
dc.title |
Financial market connectedness : the role of investors' happiness |
en_ZA |
dc.type |
Postprint Article |
en_ZA |