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Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective
Stockholm University, Faculty of Social Sciences, Stockholm Business School.ORCID iD: 0000-0003-3378-7543
Number of Authors: 32019 (English)In: Journal of Emerging Market Finance, ISSN 0972-6527, E-ISSN 0973-0710Article in journal (Refereed) Epub ahead of print
Abstract [en]

This article considers web-based global investors' crash fears as a gauge of global investors' fears, and examines its effect on stock market volatility in a sample of emerging stock markets. We show that an increase in global investors' crash fears significantly affects the volatility of stock index returns in emerging markets. The results are robust to the inclusion of the conventional investor sentiment/fear gauge measure, VIX. Thus broadening the set of measures of global investors' fears is important when explaining emerging market volatilities.

Place, publisher, year, edition, pages
2019.
Keywords [en]
Investor fear, volatility, emerging markets, African stock markets
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-177566DOI: 10.1177/0972652719877473ISI: 000501852400001OAI: oai:DiVA.org:su-177566DiVA, id: diva2:1388341
Available from: 2020-01-24 Created: 2020-01-24 Last updated: 2020-01-30

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