Investor sentiments and stock markets during the COVID-19 pandemic
Abstract This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) mode...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2022-07-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-022-00375-0 |
| _version_ | 1818519262461952000 |
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| author | Emre Cevik Buket Kirci Altinkeski Emrah Ismail Cevik Sel Dibooglu |
| author_facet | Emre Cevik Buket Kirci Altinkeski Emrah Ismail Cevik Sel Dibooglu |
| author_sort | Emre Cevik |
| collection | DOAJ |
| description | Abstract This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) model, and country-specific regressions. We proxy for negative and positive investor sentiments using the Google Search Volume Index for terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significant relationships between positive and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor sentiment leads to an increase in stock returns while negative investor sentiment decreases stock returns at lower quantiles. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases volatility, whereas positive sentiment reduces volatility. These results are robust as they are corroborated by Granger causality tests and a PVAR model. The findings may have portfolio implications as they indicate that proxies for positive and negative investor sentiments seem to be good predictors of stock returns and volatility during the pandemic. |
| first_indexed | 2024-12-11T01:21:44Z |
| format | Article |
| id | doaj.art-626e017128cf4125a408d7b31c5d67c6 |
| institution | Directory Open Access Journal |
| issn | 2199-4730 |
| language | English |
| last_indexed | 2024-12-11T01:21:44Z |
| publishDate | 2022-07-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj.art-626e017128cf4125a408d7b31c5d67c62022-12-22T01:25:41ZengSpringerOpenFinancial Innovation2199-47302022-07-018113410.1186/s40854-022-00375-0Investor sentiments and stock markets during the COVID-19 pandemicEmre Cevik0Buket Kirci Altinkeski1Emrah Ismail Cevik2Sel Dibooglu3Kırklareli UniversityTekirdag Namik Kemal UniversitesiTekirdag Namik Kemal UniversitesiTekirdag Namik Kemal UniversitesiAbstract This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using various methods, including panel regression with fixed effects, panel quantile regressions, a panel vector autoregression (PVAR) model, and country-specific regressions. We proxy for negative and positive investor sentiments using the Google Search Volume Index for terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significant relationships between positive and negative investor sentiments and stock market returns and volatility. Specifically, an increase in positive investor sentiment leads to an increase in stock returns while negative investor sentiment decreases stock returns at lower quantiles. The effect of investor sentiment on volatility is consistent across the distribution: negative sentiment increases volatility, whereas positive sentiment reduces volatility. These results are robust as they are corroborated by Granger causality tests and a PVAR model. The findings may have portfolio implications as they indicate that proxies for positive and negative investor sentiments seem to be good predictors of stock returns and volatility during the pandemic.https://doi.org/10.1186/s40854-022-00375-0COVID-19Investor sentimentStock market returnsVolatility |
| spellingShingle | Emre Cevik Buket Kirci Altinkeski Emrah Ismail Cevik Sel Dibooglu Investor sentiments and stock markets during the COVID-19 pandemic Financial Innovation COVID-19 Investor sentiment Stock market returns Volatility |
| title | Investor sentiments and stock markets during the COVID-19 pandemic |
| title_full | Investor sentiments and stock markets during the COVID-19 pandemic |
| title_fullStr | Investor sentiments and stock markets during the COVID-19 pandemic |
| title_full_unstemmed | Investor sentiments and stock markets during the COVID-19 pandemic |
| title_short | Investor sentiments and stock markets during the COVID-19 pandemic |
| title_sort | investor sentiments and stock markets during the covid 19 pandemic |
| topic | COVID-19 Investor sentiment Stock market returns Volatility |
| url | https://doi.org/10.1186/s40854-022-00375-0 |
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