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Measuring stocks returns and investor sentiment spillovers in developed markets

Author

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  • Dorsaf Ben Aissia
  • Nizar Neffati

Abstract

This study investigates the spillover of returns and investor sentiment in developed markets during the global financial crisis periods. Based on data from six developed stock market indexes ranging from January 1995 to December 2020, it uses the methodology introduced by Diebold and Ylmaz (2014) and its dynamic extensions. Findings show that local sentiment measures are interconnected. Moreover, our results suggest that sentiment connectedness across the analysed stock market indexes are more pronounced during the global financial crisis periods.

Suggested Citation

  • Dorsaf Ben Aissia & Nizar Neffati, 2024. "Measuring stocks returns and investor sentiment spillovers in developed markets," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 31(1), pages 1-22.
    • Handle: RePEc:ids:gbusec:v:31:y:2024:i:1:p:1-22
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