Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600
Abstract
The authors use a new index of investor sentiment for six developed stock markets to determine how the correlations of sentiment impact future market return correlations. Statistical analysis reveals three findings. First, sentiment is more correlated during periods when both market returns are declining. Second, the correlations of sentiment can significantly forecast future one-year stock market return correlations. Third, the correlations of sentiment have stronger predictive power for future return correlations during bear periods than they do during bull periods for the United States and other market pairs. The authors’ findings provide a partial explanation of why return correlations between different markets increase during financial crises.
TOPICS: Security analysis and valuation, statistical methods, emerging, financial crises and financial market history
- © 2017 Institutional Investor, LLC
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600