CONTAGIOUS INVESTOR SENTIMENTS AND THEIR VOLATILITIES
CONTAGIOUS INVESTOR SENTIMENTS AND THEIR VOLATILITIES

Summary/Abstract: This study examines the cross-country relationships of investor sentiments. Discoveries of linkages across fourteen developed and emerging markets provide evidence of interdependencies. Employing CCI as a proxy for investor sentiments and ARIMA-EGARCH models, this study has successfully captured multiple instances of spillover of sentiments and volatilities. The results suggest that most markets have at least one-directional association with another market by either spreading or being exposed to investor sentiments. Moreover, the division of the sample into pre and post-global crisis periods suggests that the sentiments are becoming more contagious as technologies advance, leading to further integration between the markets.

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