Noise trading and stock market volatility

被引：68
|
作者：
Verma, Rahul [1 ]
Verma, Priti [2 ]
机构：
[1] Univ Houston Downtown, Coll Business, 1 Main St, Houston, TX 77002 USA
[2] Texas A&M Univ, Coll Business, Kingsville, TX 78363 USA
来源：
JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT | 2007年 / 17卷 / 03期
关键词：
Volatility; Investor sentiment;
D O I：
10.1016/j.mulfin.2006.10.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the relative effects of fundamental and noise trading on the formation of conditional volatility. We find significant positive (negative) effects of investor sentiments on stock returns (volatilities) for both individual and institutional investors. There are greater positive effects of rational sentiments on stock returns than irrational sentiments. Conversely, there are significant (insignificant) negative effects of irrational (rational) sentiments on volatility. Also, we find asymmetric (symmetric) spillover effects of irrational (rational) bullish and bearish sentiments on the stock market. Evidence in favor of irrational sentiments is consistent with the view that investor error is a significant determinant of stock volatilities. (C) 2006 Elsevier B.V. All rights reserved.
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页码：231 / 243
页数：13
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