Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.19/6774 |
Resumo: | 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. |
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Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35Investor sentimentVolatilityStock marketThis 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.Sciedu PressRepositório Científico do Instituto Politécnico de ViseuCosta, Stefan AbrantesReis, PedroPinto, António2021-06-24T09:28:03Z20202020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.19/6774engCosta, S. A., Reis, P. M. N., & Pinto, A. P. S. (2020). Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35. International Journal of Financial Research, 11(5), 13. https://doi.org/10.5430/ijfr.v11n5p131923-402310.5430/ijfr.v11n5p13info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-01-16T15:28:58Zoai:repositorio.ipv.pt:10400.19/6774Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:44:37.370514Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 |
title |
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 |
spellingShingle |
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 Costa, Stefan Abrantes Investor sentiment Volatility Stock market |
title_short |
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 |
title_full |
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 |
title_fullStr |
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 |
title_full_unstemmed |
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 |
title_sort |
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 |
author |
Costa, Stefan Abrantes |
author_facet |
Costa, Stefan Abrantes Reis, Pedro Pinto, António |
author_role |
author |
author2 |
Reis, Pedro Pinto, António |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório Científico do Instituto Politécnico de Viseu |
dc.contributor.author.fl_str_mv |
Costa, Stefan Abrantes Reis, Pedro Pinto, António |
dc.subject.por.fl_str_mv |
Investor sentiment Volatility Stock market |
topic |
Investor sentiment Volatility Stock market |
description |
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. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020 2020-01-01T00:00:00Z 2021-06-24T09:28:03Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.19/6774 |
url |
http://hdl.handle.net/10400.19/6774 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Costa, S. A., Reis, P. M. N., & Pinto, A. P. S. (2020). Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35. International Journal of Financial Research, 11(5), 13. https://doi.org/10.5430/ijfr.v11n5p13 1923-4023 10.5430/ijfr.v11n5p13 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Sciedu Press |
publisher.none.fl_str_mv |
Sciedu Press |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799130916752195584 |