Investor sentiments and stock markets during the COVID-19 pandemic

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dc.authoridÇevik, Emre/0000-0002-2012-9886
dc.authoridÇevik, Emrah İsmail/0000-0002-8155-1597
dc.authorscopusid57193861016
dc.authorscopusid57778795200
dc.authorscopusid26653963900
dc.authorscopusid8873464300
dc.authorwosidÇevik, Emre/ABI-4835-2020
dc.contributor.authorÇevik, Emre
dc.contributor.authorAltınkeski, Buket Kırcı
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorDibooğlu, Sel
dc.date.accessioned2023-04-20T08:01:13Z
dc.date.available2023-04-20T08:01:13Z
dc.date.issued2022
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis 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.
dc.identifier.doi10.1186/s40854-022-00375-0
dc.identifier.issn2199-4730
dc.identifier.issue1en_US
dc.identifier.pmid35814528
dc.identifier.scopus2-s2.0-85133378932
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1186/s40854-022-00375-0
dc.identifier.urihttps://hdl.handle.net/20.500.11776/10807
dc.identifier.volume8
dc.identifier.wosWOS:000821821400001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.indekslendigikaynakPubMed
dc.institutionauthorÇevik, Emre
dc.institutionauthorAltınkeski, Buket Kırcı
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherSpringer
dc.relation.ispartofFinancial Innovation
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectCovid-19
dc.subjectInvestor Sentiment
dc.subjectStock Market Returns
dc.subjectVolatility
dc.subjectQuantile Regression
dc.subjectReturns Evidence
dc.subjectAttention
dc.subjectDynamics
dc.subjectPrice
dc.subjectGold
dc.titleInvestor sentiments and stock markets during the COVID-19 pandemic
dc.typeArticle

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