explores the role of irrational investors’ sentiments in determining stock market volatility. By employing monthly data on … sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility. The results … showed that irrational sentiment significantly causes excess market volatility. Moreover, the study indicates that the …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …