Publication
Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35
dc.contributor.author | Costa, Stefan Abrantes | |
dc.contributor.author | Reis, Pedro | |
dc.contributor.author | Pinto, António | |
dc.date.accessioned | 2021-06-24T09:28:03Z | |
dc.date.available | 2021-06-24T09:28:03Z | |
dc.date.issued | 2020 | |
dc.description.abstract | This 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.version | info:eu-repo/semantics/publishedVersion | pt_PT |
dc.identifier.citation | Costa, 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.v11n5p13 | pt_PT |
dc.identifier.doi | 10.5430/ijfr.v11n5p13 | pt_PT |
dc.identifier.issn | 1923-4023 | |
dc.identifier.uri | http://hdl.handle.net/10400.19/6774 | |
dc.language.iso | eng | pt_PT |
dc.peerreviewed | yes | pt_PT |
dc.publisher | Sciedu Press | pt_PT |
dc.relation | This 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.publisherversion | http://www.sciedu.ca/journal/index.php/ijfr/article/view/18963 | pt_PT |
dc.subject | Investor sentiment | pt_PT |
dc.subject | Volatility | pt_PT |
dc.subject | Stock market | pt_PT |
dc.title | Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35 | pt_PT |
dc.type | journal article | |
dspace.entity.type | Publication | |
oaire.citation.endPage | 27 | pt_PT |
oaire.citation.issue | 5 | pt_PT |
oaire.citation.startPage | 13 | pt_PT |
oaire.citation.title | International Journal of Financial Research | pt_PT |
oaire.citation.volume | 11 | pt_PT |
person.familyName | Reis | |
person.familyName | Pinto | |
person.givenName | Pedro | |
person.givenName | António | |
person.identifier.ciencia-id | B71F-60A3-3FB5 | |
person.identifier.orcid | 0000-0003-1301-6645 | |
person.identifier.orcid | 0000-0003-3278-6709 | |
person.identifier.rid | N-9211-2018 | |
person.identifier.scopus-author-id | 56747454000 | |
rcaap.rights | openAccess | pt_PT |
rcaap.type | article | pt_PT |
relation.isAuthorOfPublication | 84bd8fcc-7ce1-49f7-9669-9ccf9b9ce2f0 | |
relation.isAuthorOfPublication | b34c2474-ffbf-4410-90e4-aeacb18e532b | |
relation.isAuthorOfPublication.latestForDiscovery | 84bd8fcc-7ce1-49f7-9669-9ccf9b9ce2f0 |
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