Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/321414 
Year of Publication: 
2024
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 12 [Issue:] 1 [Article No.:] 2305481 [Year:] 2024 [Pages:] 1-16
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This study evaluates the relationship investor sentiment, exchange rate volatility, net foreign portfolio investment and the country index crash risk. The moderating variable, net foreign portfolio investment, is introduced. While previous crash risk studies typically focus on individual firms, this study takes a country-level perspective. CRASH, NCSKEW and DUVOL represent the Country Index Crash risk. The data will be analyzed using EViews software, including panel data from logistic regression and OLS regression using a two-dimensional clustered standard error method. The findings demonstrate the importance of exchange rate fluctuations and investor mood in affecting the country index crash risk. The influence of Net Foreign Portfolio Investment on the crash risk is negligible. Moreover, the study reveals that higher Net Foreign Portfolio Investment does not strengthen the impact of Investor Sentiment but weakens its influence in conjunction with Exchange Rate Volatility on the country index crash risk.
Subjects: 
Net foreign portfolio investment
investor sentiment
exchange ratevolatility
country indexcrash risk
CRASH
NCSKEW
DUVOL
JEL: 
E60
F20
F21
F40
F60
F65
G10
G15
G33
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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