Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/237220 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 6 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2020 [Pages:] 1-15
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
Understanding the irrational sentiments of the market participants is necessary for making good investment decisions. Despite the recent academic effort to examine the role of investors' sentiments in market dynamics, there is a lack of consensus in delineating the structural aspect of market sentiments. This research is an attempt to address this gap. The study explores the role of irrational investors' sentiments in determining stock market volatility. By employing monthly data on market-related implicit indices, we constructed an irrational sentiment index using principal component analysis. This sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility. The results showed that irrational sentiment significantly causes excess market volatility. Moreover, the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and returns. The findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.
Schlagwörter: 
Investor sentiment
Stock market volatility
Principal component analysis
GARCH
Granger causality testcausality test
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