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Assessing the Influence of Investor Sentiment on the Performance of the Stock Prices: Analyzing Stock Returns and Volatility During the COVID-19 Pandemic and Periods of Market Fl

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Last updated: 29 Dec 2024

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Abstract

The primary objective of this study is to examine how investor sentiment affects stock market performance, with a particular focus on two indicators: stock returns and stock market volatility. The analysis takes into account the impact of the coronavirus pandemic and takes into account two market conditions: upside (bullish) and downside (bearish). Monthly closing prices for ten sector indices were analysed, including information technology, healthcare, financials, consumer credit, telecommunications services, industrials, energy, utilities, real estate, and materials. The study used three GARCH models (GARCH, GJR-GARCH, and E-GARCH) to predict the volatility of these sector indices and understand the impact of investor sentiment. The results indicate a negative impact of investor sentiment on stock returns and stock market volatility in most sectors. The coronavirus pandemic is having a positive impact on the relationship between investor sentiment, volatility, and stock returns.
 In addition, the results reveal a bidirectional link between investor sentiment and stock volatility across all US sectors. Regarding the market situation, it has been shown that in emerging markets, investor sentiment has a negative impact on volatility and stock returns in the majority of sectors. However, in bear markets, the effect of investor sentiment on stock market returns and volatility is positive.

DOI

10.21608/msamsj.2024.263215.1051

Keywords

stock prices, Investor Sentiment, stock returns, volatility, GARCH Models

Authors

First Name

Sarah

Last Name

Hassan

MiddleName

Sobhy

Affiliation

Business Administration department, faculty of commerce Cairo University, Egypt Department Of Finance, Faculty of Management Sciences October University for Modern Sciences and Arts (MSA), Egypt

Email

ssobhy@msa.edu.eg

City

-

Orcid

0000-0002-8044-321X

Volume

3

Article Issue

2

Related Issue

44956

Issue Date

2024-04-01

Receive Date

2024-01-15

Publish Date

2024-04-01

Page Start

76

Page End

119

Print ISSN

2974-3028

Online ISSN

2974-3036

Article File

MSAMSJ_Volume 3_Issue 2_Pages 76-119.pdf

PDF . 743.5kB

Link

https://msamsj.journals.ekb.eg/article_340555.html

Detail API

https://msamsj.journals.ekb.eg/service?article_code=340555

Order

340,555

Type

Original Article

Type Code

2,535

Publication Type

Journal

Publication Title

MSA-Management Sciences Journal

Publication Link

https://msamsj.journals.ekb.eg/

MainTitle

Assessing the Influence of Investor Sentiment on the Performance of the Stock Prices: Analyzing Stock Returns and Volatility During the COVID-19 Pandemic and Periods of Market Fluctuations

Details

Type

Article

Created At

29 Dec 2024