Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector
A part of the financial literature has attempted to explain idiosyncratic asset shocks through investor behavior in response to company news and events. As a result, there has been an increase in the development of different investor sentiment measurements. This paper analyses whether the Bloomberg...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2021 |
| País: | España |
| Institución: | Universidad Nacional de Educación a Distancia |
| Repositorio: | e-spacio. Repositorio Institucional de la UNED |
| Idioma: | inglés |
| OAI Identifier: | oai:e-spacio.uned.es:20.500.14468/11909 |
| Acceso en línea: | https://hdl.handle.net/20.500.14468/11909 |
| Access Level: | acceso abierto |
| Palabra clave: | investor sentiment idiosyncratic shocks financial institutions market risk |
| Sumario: | A part of the financial literature has attempted to explain idiosyncratic asset shocks through investor behavior in response to company news and events. As a result, there has been an increase in the development of different investor sentiment measurements. This paper analyses whether the Bloomberg investor sentiment index has a causal relationship with the abnormal returns and volume shocks of major European Union (EU) financial companies through a sample of 85 financial institutions over 4 years (2014–2018) on a daily basis. The i.i.d. shocks are obtained from a factorial asset pricing model and ARMA-GARCH-type process; then we checked whether there is both individual and joint causality between the standardized residuals. The results show that the explanatory capacity of the shocks of the firm Bloomberg sentiment index is low, although there is empirical evidence that the effects correspond more to the situation of the financial subsector (banks, real estate, financial services and insurance) than to the company itself, with which we conclude that the sentiment index analyzed reflects a sectorial effect more than individual one. |
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