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

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dc.contributor.authorMorales de Vega, M. Encina
dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:21Z
dc.date.available2024-05-20T11:24:21Z
dc.date.issued2021
dc.description.abstractA 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.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.3390/math9040297
dc.identifier.issn2227-7390
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11909
dc.journal.titleMathematics
dc.journal.volume9
dc.language.isoen
dc.publisherMDPI
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by/4.0
dc.subject.keywordsinvestor sentiment
dc.subject.keywordsidiosyncratic shocks
dc.subject.keywordsfinancial institutions
dc.subject.keywordsmarket risk
dc.titleInfluence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sectores
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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