The Impact of Sentiment Index on Market Volatility: A Literature Review | ||
| مجلة البØوث الإدارية | ||
| Volume 43, Issue 1, January 2025 PDF (671.85 K) | ||
| Document Type: المقالة الأصلية | ||
| DOI: 10.21608/jso.2024.292563.1305 | ||
| Author | ||
| رنا عبد الرØيم* | ||
| ادارة الاعمال كلية تجارة جامعة القاهرة | ||
| Abstract | ||
| Through a comprehensive and critical literature review, the study sheds light on the paramount role of investor sentiment in the formation of the systemic risk by investigating the sentiment’s impact on the mean-variance stock framework. The research reviews the impact of investor sentiment on stock market volatility and highlights the paradox and inconclusive results of past studies. In an attempt to provide guiding lines for resolving this paradox, the research emphasizes the importance of accounting for economic shocks when investigating the predictive and impact power of sentiment on the stock market volatility, highlighting the shift in the sentiment predictive powers within crisis and non-crisis periods and the heavier impact of the investor’s sentiment in emerging markets compared to the developed markets. By providing a critical review of the literature, this study aims to open doors for various researchers to re-examine the dynamics of stock market volatility and investor sentiment under various conditions and assumptions, in an attempt to resolve the underlying inconclusiveness of the past studies. By resolving this paradox, researchers can adjust asset pricing models to account for investor sentiment, while practitioners can better predict the market volatility and adjusting policies to accommodate for market behavior. | ||
| Keywords | ||
| investor sentiment; volatility; crisis and non-crisis periods; emerging markets | ||
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