Does investor sentiment predict the asset volatility? Evidence from emerging stock market India
Abstract
The present study probes the influence of investor sentiment on the predictability of Indian stock market volatility exploiting the non-linear conditional mean–variance framework. We developed a broad based irrational aggregate sentiment index for an emerging market India to examine this issue. We employed ten aggregate market related sentiment proxies to construct sentiment index applicable for emerging stock markets. We used GARCH model and...
Paper Details
Title
Does investor sentiment predict the asset volatility? Evidence from emerging stock market India
Published Date
Dec 1, 2015
Volume
8
Pages
25 - 39
Citation AnalysisPro
You’ll need to upgrade your plan to Pro
Looking to understand the true influence of a researcher’s work across journals & affiliations?
- Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
- Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.
Notes
History