Haritha P H; Rishad, Abdul - In: Financial innovation : FIN 6 (2020) 34, pp. 1-15
sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility. The results … explores the role of irrational investors’ sentiments in determining stock market volatility. By employing monthly data on … showed that irrational sentiment significantly causes excess market volatility. Moreover, the study indicates that the …