Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector

González-Sánchez, Mariano y Morales de Vega, M. Encina . (2021) Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector. Mathematics 2021, 9, 297

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Título Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector
Autor(es) González-Sánchez, Mariano
Morales de Vega, M. Encina
Materia(s) Economía
Abstract 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.
Palabras clave investor sentiment
idiosyncratic shocks
financial institutions
market risk
Editor(es) MDPI
Fecha 2021
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0009
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0009
DOI - identifier https://doi.org/10.3390/math9040297
ISSN - identifier 2227-7390
Nombre de la revista Mathematics
Número de Volumen 9
Publicado en la Revista Mathematics 2021, 9, 297
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Mathematics , is available online at the publisher's website: MDPI, https://doi.org/10.3390/math9040297
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Risk Management, está disponible en línea en el sitio web del editor: MDPI, https://doi.org/10.3390/math9040297

 
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Creado: Tue, 05 Mar 2024, 23:30:00 CET