Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets

IF 2.5 Q2 ECONOMICS

Asia-Pacific Financial Markets Pub Date : 2024-02-28 DOI:10.1007/s10690-024-09449-8

Rameeza Andleeb, Arshad Hassan

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引用次数: 0

Abstract

The present study aims to identify the non-linear relationship of bullish and bearish investor sentiment with conditional volatility. It is conducted in emerging equity markets of Brazil, India, Pakistan, Russia, Indonesia, South Africa, and China. The data regarding share prices, shares outstanding, and trading volume is collected from the representative indices for a period from 2001 to 2020. Investor Sentiment Index is constructed using Principal Component Analysis and decomposed into bullish and bearish investor sentiment. The GARCH model is applied to generate conditional volatility and the Non-linear Auto Regressive Moving Average model is applied to analyze the asymmetric relationship between conditional volatility and investor sentiment at the country level. The Panel GARCH model is applied to generate conditional volatility for panel data, and the Non-linear Dynamic Auto Regressive Moving Average model is applied to investigate the nonlinear relation of investor sentiment with volatility. Bullish and bearish investor sentiments show a significant effect in generating conditional volatility in the markets in both linear as well as nonlinear settings.

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新兴股票市场投资者情绪与条件波动之间的非线性关系

本研究的目的是确定投资者看涨和看跌情绪与条件波动的非线性关系。它是在巴西、印度、巴基斯坦、俄罗斯、印度尼西亚、南非和中国的新兴股票市场进行的。有关股价、流通股和交易量的数据是从2001年至2020年的代表性指数中收集的。利用主成分分析法构建投资者情绪指数，并将其分解为看涨和看跌投资者情绪。采用GARCH模型生成条件波动率，采用非线性自回归移动平均模型分析国家层面条件波动率与投资者情绪之间的不对称关系。采用面板GARCH模型生成面板数据的条件波动率，采用非线性动态自回归移动平均模型研究投资者情绪与波动率的非线性关系。看涨和看跌的投资者情绪在线性和非线性环境下对市场产生条件波动都有显著影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets