Financial market connectedness: The role of investors’ happiness

E. Bouri, R. Demirer, D. Gabauer, R. Gupta. Financial market connectedness: The role of investors’ happiness. Finance Research Letters, pages 102075, DOI 10.1016/j.frl.2021.102075, 4, 2021.

Autoren
  • Elie Bouri
  • Riza Demirer
  • David Gabauer
  • Rangan Gupta
TypArtikel
JournalFinance Research Letters
DOI10.1016/j.frl.2021.102075
Monat4
Jahr2021
Seiten102075
Abstract

We examine the relationship between investor sentiment and connectedness patterns across global stock markets within a quantile-on-quantile framework. Our findings show that investor happiness has a significant effect on both the return and volatility spillovers across global stock markets. While the sentiment effect is found to be relatively strong on volatility spillovers, we observe that the relationship between sentiment and connectedness is asymmetric for return and volatility connectedness. The findings suggest that both investors and policy makers should be particularly vigilant against sentiment shocks, in either direction, as these shocks can have significant risk effects, contributing to volatility spillovers globally.