Financial market connectedness : the role of investors' happiness

dc.contributor.authorBouri, Elie
dc.contributor.authorDemirer, Riza
dc.contributor.authorGabauer, David
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2022-03-11T07:22:38Z
dc.date.issued2022-01
dc.description.abstractWe 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.departmentEconomicsen_ZA
dc.description.embargo2023-01-05
dc.description.librarianhj2022en_ZA
dc.description.urihttp://www.elsevier.com/locate/frlen_ZA
dc.identifier.citationBouri, 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.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2021.102075
dc.identifier.urihttp://hdl.handle.net/2263/84441
dc.language.isoenen_ZA
dc.publisherElsevieren_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.subjectEquity marketsen_ZA
dc.subjectInvestor happinessen_ZA
dc.subjectTime-varying parameter vector autoregressive (TVP-VAR)en_ZA
dc.subjectDynamic connectednessen_ZA
dc.subjectQuantile-on-quantile approachen_ZA
dc.titleFinancial market connectedness : the role of investors' happinessen_ZA
dc.typePostprint Articleen_ZA

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