An empirical examination of investor sentiment and stock market volatility: evidence from India

作     者：Haritha P H Abdul Rishad 

作者机构：Central University of KeralaKasaragodIndia Central University of Himachal PradeshDharamsalaHimachal PradeshIndia 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2020年第6卷第1期

页      面：667-681页

核心收录：

学科分类：0202[经济学-应用经济学] 02[经济学] 020205[经济学-产业经济学] 

主　　题：Investor sentiment Stock market volatility Principal component analysis GARCH Granger causality test 

摘      要：Understanding the irrational sentiments of the market participants is necessary for making good investment *** the recent academic effort to examine the role of investors’sentiments in market dynamics,there is a lack of consensus in delineating the structural aspect of market *** research is an attempt to address this *** study explores the role of irrational investors’sentiments in determining stock market *** employing monthly data on market-related implicit indices,we constructed an irrational sentiment index using principal component *** sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to *** results showed that irrational sentiment significantly causes excess market ***,the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and *** findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.