How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data

被引：133

作者：

Zouaoui, Mohamed ^{[1
,2
]}

Nouyrigat, Genevieve ^{[3
]}

Beer, Francisca ^{[4
]}

机构：

[1] Univ Franche Comte, Besancon, France

[2] LEG, UMR 5118, Dijon, France

[3] Univ Grenoble, Grenoble, France

[4] Calif State Univ San Bernardino, San Bernardino, CA USA

来源：

FINANCIAL REVIEW | 2011年 / 46卷 / 04期

关键词：

investor sentiment; noise trader; stock market crises;

D O I：

10.1111/j.1540-6288.2011.00318.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises. We find that investor sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of investor sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior, overreaction and low institutional involvement.

引用

页码：723 / 747

页数：25

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