Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303899 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2158007 [Year:] 2022 [Pages:] 1-24
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
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 relationship between prevailing sentiment and subsequent returns and a positive relationship between investor sentiment and sector returns volatilities. Additionally, there was evidence of variability of sentiment effects on the sector returns and volatilities. Accordingly, firms that raise financing through the stock market, portfolio managers with investments thereon and policymakers seeking to ensure that markets operate efficiently need to consider the impact of market-wide investor sentiment on volatility and returns.
Subjects: 
GARCH
returns
sentiment
South Africa
volatility
JEL: 
G10
G15
G17
G40
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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