{"title":"投资者情绪对羊群行为和股票收益的不对称影响:新冠肺炎疫情前后分析","authors":"Tanveer Bagh, M. Asif Khan, V. Fenyves, J. Oláh","doi":"10.14254/1800-5845/2023.19-1.4","DOIUrl":null,"url":null,"abstract":"The study investigates the asymmetric effect of investors sentiments on herding behavior and stock returns of S&P 500 markets during pre and post covid 19. We analyze daily data from May 15, 2000 (Pre Covid) to 20 Feb 2020 and form 20 Feb to -13 May, 2022 (Post Covid). We conduct Modified multiple regression Analysis by introducing investors sentiments proxy i.e., trading volume into the Chang et al., (2000) herding model named as cross-sectional absolute deviation along with Vector Autoregressive Regression and Granger Causality tests. We establish that trading volume increases herding asymmetric. Post COVID-19 has significant negative effects on herding behaviour. The findings illustrate that COVID-19 increased herding behavior in S&P 500 markets and became more intensified during COVID-19, which contributes to accentuate and elongate it. The study also documents significant positive effect of investor sentiment on stock returns, whereas COVID-19 has negative effect on S&P 500 stock returns. We propose that investor sentiments may present extrapolative or predictive feature of herding behaviour. The study will be beneficial to shape an understanding of different dynamics associated with portfolio and market in-efficiency, trading strategies as well as risk management perspective.","PeriodicalId":45544,"journal":{"name":"Montenegrin Journal of Economics","volume":null,"pages":null},"PeriodicalIF":1.2000,"publicationDate":"2023-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Asymmetric Effect of Investors Sentiments on Herding Behavior and Stock Returns: Pre and Post Covid-19 Analysis\",\"authors\":\"Tanveer Bagh, M. Asif Khan, V. Fenyves, J. Oláh\",\"doi\":\"10.14254/1800-5845/2023.19-1.4\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The study investigates the asymmetric effect of investors sentiments on herding behavior and stock returns of S&P 500 markets during pre and post covid 19. We analyze daily data from May 15, 2000 (Pre Covid) to 20 Feb 2020 and form 20 Feb to -13 May, 2022 (Post Covid). We conduct Modified multiple regression Analysis by introducing investors sentiments proxy i.e., trading volume into the Chang et al., (2000) herding model named as cross-sectional absolute deviation along with Vector Autoregressive Regression and Granger Causality tests. We establish that trading volume increases herding asymmetric. Post COVID-19 has significant negative effects on herding behaviour. The findings illustrate that COVID-19 increased herding behavior in S&P 500 markets and became more intensified during COVID-19, which contributes to accentuate and elongate it. The study also documents significant positive effect of investor sentiment on stock returns, whereas COVID-19 has negative effect on S&P 500 stock returns. We propose that investor sentiments may present extrapolative or predictive feature of herding behaviour. The study will be beneficial to shape an understanding of different dynamics associated with portfolio and market in-efficiency, trading strategies as well as risk management perspective.\",\"PeriodicalId\":45544,\"journal\":{\"name\":\"Montenegrin Journal of Economics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2023-01-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Montenegrin Journal of Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.14254/1800-5845/2023.19-1.4\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Montenegrin Journal of Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14254/1800-5845/2023.19-1.4","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
Asymmetric Effect of Investors Sentiments on Herding Behavior and Stock Returns: Pre and Post Covid-19 Analysis
The study investigates the asymmetric effect of investors sentiments on herding behavior and stock returns of S&P 500 markets during pre and post covid 19. We analyze daily data from May 15, 2000 (Pre Covid) to 20 Feb 2020 and form 20 Feb to -13 May, 2022 (Post Covid). We conduct Modified multiple regression Analysis by introducing investors sentiments proxy i.e., trading volume into the Chang et al., (2000) herding model named as cross-sectional absolute deviation along with Vector Autoregressive Regression and Granger Causality tests. We establish that trading volume increases herding asymmetric. Post COVID-19 has significant negative effects on herding behaviour. The findings illustrate that COVID-19 increased herding behavior in S&P 500 markets and became more intensified during COVID-19, which contributes to accentuate and elongate it. The study also documents significant positive effect of investor sentiment on stock returns, whereas COVID-19 has negative effect on S&P 500 stock returns. We propose that investor sentiments may present extrapolative or predictive feature of herding behaviour. The study will be beneficial to shape an understanding of different dynamics associated with portfolio and market in-efficiency, trading strategies as well as risk management perspective.
期刊介绍:
“Montenegrin Journal of Economics” is an international scientific periodical, issued by NGO “Economic Laboratory for Transition Research” (ELIT) Podgorica, Montenegro. It publishes theoretical, empirical and applicative articles from all the areas of Economics. The journal is issued four times a year. Montenegrin Journal of Economics aspires to educate the widest public on contemporary research and achievements in various areas of economics and to expend the boundaries of economic knowledge. Montenegrin Journal of Economics aims to publish innovative, straightforward, challenging, analytical and review articles on economic phenomena, events and changes . The journal''s content aspires to be actual, relevant and interesting to a wide readership of economic specialties,. This includes publishing the articles of authors from various universities and schools of economics worldwide and their mutual cooperation. Areas of research include, but are not limited to, the following: Economic Theory, International Economics, and Transition Issues.