Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2020-08-01 DOI:10.1177/0972652719877473

M. Graham, Jussi Nikkinen, J. Peltomäki

引用次数: 6

Abstract

This article considers web-based global investors’ crash fears as a gauge of global investors’ fears, and examines its effect on stock market volatility in a sample of emerging stock markets. We show that an increase in global investors’ crash fears significantly affects the volatility of stock index returns in emerging markets. The results are robust to the inclusion of the conventional investor sentiment/fear gauge measure, VIX. Thus broadening the set of measures of global investors’ fears is important when explaining emerging market volatilities. JEL Classification: F30, G11, G15

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基于网络的投资者恐惧指数与股票市场波动:一个新兴市场的视角

本文将基于网络的全球投资者的崩溃恐惧作为全球投资者恐惧的衡量标准，并在新兴股市的样本中检验其对股市波动的影响。我们的研究表明，全球投资者对崩盘担忧的增加显著影响了新兴市场股指回报的波动性。纳入传统的投资者情绪/恐惧衡量指标VIX后，结果依然稳健。因此，在解释新兴市场波动时，扩大衡量全球投资者担忧程度的指标非常重要。JEL分类:F30, G11, G15

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

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.