The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange

The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the Johannesburg Stock Exchange using a proxy-based composite investor sentiment index and generalised autoregressive conditional heteroscedasticity models. Overall, findings showed a negative...

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Bibliographic Details
Main Authors: Hilary Tinotenda Muguto, Lorraine Muguto, Azra Bhayat, Hawaa Ncalane, Kara Jasmine Jack, Saadia Abdullah, Thabile Siphesihle Nkosi, Paul-Francois Muzindutsi
Format: Article
Language:English
Published: Taylor & Francis Group 2022-12-01
Series:Cogent Economics & Finance
Subjects:
sentiment
returns
volatility
GARCH
South Africa
G10
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2022.2158007
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https://www.tandfonline.com/doi/10.1080/23322039.2022.2158007

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