How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic

How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly returns in Vietnam before and during the COVID-19. We construct an internet search-based measure of sentiment (FEARS) from the Google Trends Search Volume Index of Vietnam’s financial a...

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Bibliographic Details
Main Authors: Khoa Dang Duong, Man Minh Tran, Diep Van Nguyen, Hoa Thanh Phan Le
Format: Article
Language:English
Published: Taylor & Francis Group 2022-12-01
Series:Cogent Economics & Finance
Subjects:
COVID-19 pandemic
investor sentiment
google search volume
IVOL
liquidity
Vietnam
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2022.2114175

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https://www.tandfonline.com/doi/10.1080/23322039.2022.2114175

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