We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum' is an important determinant of the overall arbitrage process. We design...

This study attempts to analyze the effects of investor sentiment on volatility of nine stock markets, and capture the asymmetry in terms of negative and positive news during the period from January, 2004 to June, 2015. Empirical evidence from a sentiment-augmented TGARCH model demonstrates that...