market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic … indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of … trading (VPIN), on the path of investor sentiment affecting stock volatility. It is evidenced that investor sentiments are …

fragmentation on two types of investors optimization problems: “intermediary” high-frequency and “final” investors. Volatility has a …, and indirectly via total volatility. A shock in fragmentation may lead to a decrease in trading volume, enhanced in the … case of an equity markets crisis by a rise in the components of volatility …

relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile … cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for …

but an ambiguous effect on volatility. The overall effect on volatility results from the interplay of a benchmarking and a … between the degree of irrationality of the sentiment-driven investors and the stock return's excess volatility, in stark … patterns in stock volatility that cannot be explained in the absence of sentiment. Our results have a number of implications …

effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …

comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …