Sie befinden Sich nicht im Netzwerk der Universität Paderborn. Der Zugriff auf elektronische Ressourcen ist gegebenenfalls nur via VPN oder Shibboleth (DFN-AAI) möglich. mehr Informationen...
Ergebnis 21 von 780
Journal of economic behavior & organization, 2021-08, Vol.188, p.1088-1108
2021
Volltextzugriff (PDF)

Details

Autor(en) / Beteiligte
Titel
Feverish sentiment and global equity markets during the COVID-19 pandemic
Ist Teil von
  • Journal of economic behavior & organization, 2021-08, Vol.188, p.1088-1108
Ort / Verlag
Netherlands: Elsevier B.V
Erscheinungsjahr
2021
Quelle
Alma/SFX Local Collection
Beschreibungen/Notizen
  • This paper proposes a new approach to estimating investor sentiments and their implications for the global financial markets. Contextualising the COVID-19 pandemic, we draw on the six behavioural indicators (media coverage, fake news, panic, sentiment, media hype and infodemic) of the 17 largest economies and data from 1st January 2020 to 3rd February 2021. Our key findings, obtained using a time-varying parameter-vector auto-regression (TVP-VAR) model, indicate the total and net connectedness for the new index, entitled ‘feverish sentiment’. This index provides us insight into economies that send or receive the sentiment shocks. The construction of the network structures indicates that the United Kingdom, China, the United States and Germany became the epicentres of the sentimental shocks that were transmitted to other economies. Furthermore, we also explore the predictive power of the newly constructed index on stock returns and volatility. It turns out that investor sentiment positively (negatively) predicts the stock volatility (return) at the onset of COVID-19. This is the first study of its kind to assess international feverish sentiments by proposing a novel approach and its impacts on the equity market. Based on empirical findings, the study also offers some policy directions to mitigate the fear and panic during the pandemic.
Sprache
Englisch
Identifikatoren
ISSN: 0167-2681
eISSN: 1879-1751, 0167-2681
DOI: 10.1016/j.jebo.2021.06.016
Titel-ID: cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_8486493

Weiterführende Literatur

Empfehlungen zum selben Thema automatisch vorgeschlagen von bX