文章基本信息

标题：Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35
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作者：Stefan Abrantes Costa ; Pedro Manuel Nogueira Reis ; Antonio Pedro Soares Pinto 等
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2020
卷号：11
期号：5
页码：13-27
DOI：10.5430/ijfr.v11n5p13
出版社：Sciedu Press
摘要：This study assesses the impact of investor sentiment on the volatility of the PSI 20 and IBEX 35 from time series data from January 1988 to May 2019. The impact of investor sentiment on market and portfolio selection has aroused great interest in the literature, however the results obtained are not consensual, considering the different methodologies used to build sentiment indices, as well as the various levels of institutional development in the market. Asymmetric volatility behaviours according to good or bad news were evaluated using the TGARCH model. The results indicate that there is an asymmetric effect of good versus bad news on the volatility of IBEX 35. It was also noted that for Portugal and Spain investor sentiment presents statistical significance with a negative sign, suggesting that market volatility is more sensitive to negative shocks in the conditional variance. In Portugal, contrary to Spain, sentiment has no relevance on return. The study reveals that investor sentiment is a key factor in selecting investment in the market. The relationship that this establishes with volatility, can help to implement policies that allow to minimize future shocks’ impact on return. The study reveals for the first time that investor sentiment is a key factor in selecting investment in the market for Portugal.
关键词：investor sentiment; volatility; stock market