This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their … comprehensive evidence on the volatility of investor returns using individual stocks, portfolios of stocks, and market indexes from … the U.S. and major international stock markets. Our main finding is that the volatility of investor returns is higher than …

preferences affect future spot price volatility. Consistent with our expectation, we find that preferences for lotteries by call … option traders directly affect future volatility in the underlying asset …

significantly more than that of individual traders. This in turn leads to increases in market price volatility and decreases in … activity of noise speculators to reduce market volatility …

Purpose - The purpose of this paper is to examine the volatility transmission between migration policy uncertainty …/methodology/approach - The author proxies volatility via EGARCH (1,1) for all series and employs Diebold-Yilmaz (2012) methodology to test the …, as well as the direction. Findings - Findings propose that volatility transmission is from migration index to stock …

The study attempts to assess the influence of investor sentiment onselected sectoral indices returns volatility in the … influence of investorsentiment on sectoral indices return volatility is traced. The stronger theinfluence of investor sentiment … and higher will be the current market volatility.The results of this study may assist individuals, institutional investors …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …