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The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange

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...

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Autori principali: Hilary Tinotenda Muguto, Lorraine Muguto, Azra Bhayat, Hawaa Ncalane, Kara Jasmine Jack, Saadia Abdullah, Thabile Siphesihle Nkosi, Paul-Francois Muzindutsi
Natura: Artigo
Lingua:Inglês
Pubblicazione: Taylor & Francis Group 2022-12-01
Serie:Cogent Economics & Finance
Soggetti:
sentiment
returns
volatility
GARCH
South Africa
G10
Accesso online:https://www.tandfonline.com/doi/10.1080/23322039.2022.2158007
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