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Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35

dc.contributor.authorCosta, Stefan Abrantes
dc.contributor.authorReis, Pedro
dc.contributor.authorPinto, António
dc.date.accessioned2021-06-24T09:28:03Z
dc.date.available2021-06-24T09:28:03Z
dc.date.issued2020
dc.description.abstractThis study assesses the impact of investor sentiment on the volatility of the PSI 20 and IBEX 35 from time series data from January 1988 to May 2019. The impact of investor sentiment on market and portfolio selection has aroused great interest in the literature, however the results obtained are not consensual, considering the different methodologies used to build sentiment indices, as well as the various levels of institutional development in the market. Asymmetric volatility behaviours according to good or bad news were evaluated using the TGARCH model. The results indicate that there is an asymmetric effect of good versus bad news on the volatility of IBEX 35. It was also noted that for Portugal and Spain investor sentiment presents statistical significance with a negative sign, suggesting that market volatility is more sensitive to negative shocks in the conditional variance. In Portugal, contrary to Spain, sentiment has no relevance on return. The study reveals that investor sentiment is a key factor in selecting investment in the market. The relationship that this establishes with volatility, can help to implement policies that allow to minimize future shocks’ impact on return. The study reveals for the first time that investor sentiment is a key factor in selecting investment in the market for Portugal.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationCosta, S. A., Reis, P. M. N., & Pinto, A. P. S. (2020). Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35. International Journal of Financial Research, 11(5), 13. https://doi.org/10.5430/ijfr.v11n5p13pt_PT
dc.identifier.doi10.5430/ijfr.v11n5p13pt_PT
dc.identifier.issn1923-4023
dc.identifier.urihttp://hdl.handle.net/10400.19/6774
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSciedu Presspt_PT
dc.relationThis work is financed by national funds through FCT - Fundação para a Ciência e Tecnologia, I.P., under the project UID/Multi/04016/2019. Furthermore, we would like to thank the Instituto Politécnico de Viseu and CI&DETS for their support.pt_PT
dc.relation.publisherversionhttp://www.sciedu.ca/journal/index.php/ijfr/article/view/18963pt_PT
dc.subjectInvestor sentimentpt_PT
dc.subjectVolatilitypt_PT
dc.subjectStock marketpt_PT
dc.titleSubjective/ Behavioural Factors Influence the PSI 20 and IBEX 35pt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage27pt_PT
oaire.citation.issue5pt_PT
oaire.citation.startPage13pt_PT
oaire.citation.titleInternational Journal of Financial Researchpt_PT
oaire.citation.volume11pt_PT
person.familyNameReis
person.familyNamePinto
person.givenNamePedro
person.givenNameAntónio
person.identifier.ciencia-idB71F-60A3-3FB5
person.identifier.orcid0000-0003-1301-6645
person.identifier.orcid0000-0003-3278-6709
person.identifier.ridN-9211-2018
person.identifier.scopus-author-id56747454000
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication84bd8fcc-7ce1-49f7-9669-9ccf9b9ce2f0
relation.isAuthorOfPublicationb34c2474-ffbf-4410-90e4-aeacb18e532b
relation.isAuthorOfPublication.latestForDiscovery84bd8fcc-7ce1-49f7-9669-9ccf9b9ce2f0

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