Impact of investor sentiment on market volatility
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This research work studies the joint impact of investor sentiment and volatility on stock returns during the period from May 2006 to May 2016. Using data from the Euro Stoxx 50 index which represents the top fifty companies in the Eurozone and after exposure to a large literature review on this context, investor sentiment (Baker and Wurgler (2006) measure) and conditional volatility were measured from the EGARCH model, which represents our explanatory variables. Using multiple linear regression, we found that investor sentiment negatively affects stock returns, while conditional volatility, bo...
This research work studies the joint impact of investor sentiment and volatility on stock returns during the period from May 2006 to May 2016. Using data from the Euro Stoxx 50 index which represents the top fifty companies in the Eurozone and after exposure to a large literature review on this context, investor sentiment (Baker and Wurgler (2006) measure) and conditional volatility were measured from the EGARCH model, which represents our explanatory variables. Using multiple linear regression, we found that investor sentiment negatively affects stock returns, while conditional volatility, book-to-market ratio, firm size, and leverage ratio positively affect it. Also, by adding the moderating variables, we find that firm size and leverage ratio positively moderate the impact of investor sentiment and conditional volatility on this return, while the opposite is true for the book-to-market ratio.
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