The Impact of Investor Sentiment on the 'Leverage Effect'

Semen Son-Turan

doi:https://doi.org/10.33818/ier.278043

Makale detayları

The Impact of Investor Sentiment on the 'Leverage Effect'

Yazarlar:

Semen Son-Turan

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Sosyoloji & antropoloji | Yönetim

Dergi:

International Econometric Review 2016 Vol.8 Issue 1, pp.4-18

Belge Tipi:

Makale

Yayın Tarihi:

3/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000717669

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.278043

Özet:

 

With the advent of the Internet and the availability of user search query data on a broader scale, since the early 2000s researchers have started using collective search query   information instead of, or, in addition to, traditional investor sentiment proxies. This study examines whether the leverage (bad news) effect, as measured by the EGARCH (1,1) model,   changes with the inclusion of a newly emerging sentiment proxy, internet search volume. The sample consists of 14 US companies belonging to the NASDAQ and NYSE Indices and 501   observations of data collected at weekly frequency spanning a nine year period. Empirical findings suggest that, inclusion of the investor sentiment variable has no clear impact on the   bad news effect; there is, however, a discernible increase in volatility persistence. The implications of the findings are that the investor sentiment proxy has additional informational    content. Behavioral finance theory and the availability and social proof heuristics serve as potential explanations for such findings.

Makale detayları

The Impact of Investor Sentiment on the 'Leverage Effect'

Yazarlar: Semen Son-Turan

Yayıncı: Econometric Research Association

Ana Başlıklar: Sosyoloji & antropoloji | Yönetim

Dergi: International Econometric Review 2016 Vol.8 Issue 1, pp.4-18

Belge Tipi: Makale

Yayın Tarihi: 3/2016

Belge Dili: Türkçe

Document ID (Org No.): 2000717669

Sıklık: Üç Aylık

eISSN: 1308-8815

pISSN: 1308-8793

DOI: https://doi.org/10.33818/ier.278043

Sayı

Yazarlar:

Semen Son-Turan

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Sosyoloji & antropoloji | Yönetim

Dergi:

International Econometric Review 2016 Vol.8 Issue 1, pp.4-18

Belge Tipi:

Makale

Yayın Tarihi:

3/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000717669

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.278043