Publicação
Measuring sentiment: the impact on financial markets volatility
| Resumo: | This dissertation provides insights into the impact of sentiment factors on stock market volatility using monthly panel data from Germany, the UK and the US from 2002-2022. The main objective is to understand how the consumer confidence index, the trading volume, the put/call ratio, and the number of IPOs - components of the sentiment index used in this research - affect the volatility of the DAX 40, FTSE 100, and S&P 500 indices, respectively. The results suggest that investor sentiment has impact on market volatility in all three indices. In particular, a higher consumer confidence index correlates with lower volatility, suggesting that positive sentiment stabilizes markets. Conversely, increased trading volume and a higher put/call ratio are associated with increased volatility, reflecting greater market activity and investor uncertainty. In addition, the number of IPOs serves as a sentiment gauge, with increased IPO activity corresponding to a more optimistic market outlook and contributing to lower volatility. Overall, the results underscore the importance of integrating sentiment measures into financial analysis and provide valuable insights for investors and policymakers seeking to understand and manage market fluctuations. This research contributes to the behavioural finance literature by elucidating the complex interplay between investor sentiment and stock market behaviour. |
|---|---|
| Autores principais: | Carvalho, Carolina e Silva Correia de |
| Assunto: | Sentiment Volatility Stock market |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| _version_ | 1866810084030414848 |
|---|---|
| author | Carvalho, Carolina e Silva Correia de |
| author_facet | Carvalho, Carolina e Silva Correia de |
| author_role | author |
| contributor_name_str_mv | Garcia, Maria Teresa Medeiros Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Carvalho, Carolina e Silva Correia de\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Garcia, Maria Teresa Medeiros Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Carvalho, Carolina e Silva Correia de |
| datacite.date.Accepted.fl_str_mv | 2024-10-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2025-03-21T10:01:28Z |
| datacite.date.embargoed.fl_str_mv | 2025-03-21T10:01:28Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Sentiment Volatility Stock market |
| datacite.titles.title.fl_str_mv | Measuring sentiment: the impact on financial markets volatility |
| dc.contributor.none.fl_str_mv | Garcia, Maria Teresa Medeiros Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Carvalho, Carolina e Silva Correia de |
| dc.date.Accepted.fl_str_mv | 2024-10-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2025-03-21T10:01:28Z |
| dc.date.embargoed.fl_str_mv | 2025-03-21T10:01:28Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/99577 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Instituto Superior de Economia e Gestão |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Sentiment Volatility Stock market |
| dc.title.fl_str_mv | Measuring sentiment: the impact on financial markets volatility |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_bdcc |
| description | This dissertation provides insights into the impact of sentiment factors on stock market volatility using monthly panel data from Germany, the UK and the US from 2002-2022. The main objective is to understand how the consumer confidence index, the trading volume, the put/call ratio, and the number of IPOs - components of the sentiment index used in this research - affect the volatility of the DAX 40, FTSE 100, and S&P 500 indices, respectively. The results suggest that investor sentiment has impact on market volatility in all three indices. In particular, a higher consumer confidence index correlates with lower volatility, suggesting that positive sentiment stabilizes markets. Conversely, increased trading volume and a higher put/call ratio are associated with increased volatility, reflecting greater market activity and investor uncertainty. In addition, the number of IPOs serves as a sentiment gauge, with increased IPO activity corresponding to a more optimistic market outlook and contributing to lower volatility. Overall, the results underscore the importance of integrating sentiment measures into financial analysis and provide valuable insights for investors and policymakers seeking to understand and manage market fluctuations. This research contributes to the behavioural finance literature by elucidating the complex interplay between investor sentiment and stock market behaviour. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/60fb8f1f-7be3-45d0-8513-c4bd8f99236b/download |
| id | ul_47483f4cd10d0a8a42e52fad4e5f04da |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/99577 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/99577 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Carvalho, Carolina e Silva Correia de |
| publishDate | 2024 |
| publisher.none.fl_str_mv | Instituto Superior de Economia e Gestão |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engInstituto Superior de Economia e Gestãopt_PTThis dissertation provides insights into the impact of sentiment factors on stock market volatility using monthly panel data from Germany, the UK and the US from 2002-2022. The main objective is to understand how the consumer confidence index, the trading volume, the put/call ratio, and the number of IPOs - components of the sentiment index used in this research - affect the volatility of the DAX 40, FTSE 100, and S&P 500 indices, respectively. The results suggest that investor sentiment has impact on market volatility in all three indices. In particular, a higher consumer confidence index correlates with lower volatility, suggesting that positive sentiment stabilizes markets. Conversely, increased trading volume and a higher put/call ratio are associated with increased volatility, reflecting greater market activity and investor uncertainty. In addition, the number of IPOs serves as a sentiment gauge, with increased IPO activity corresponding to a more optimistic market outlook and contributing to lower volatility. Overall, the results underscore the importance of integrating sentiment measures into financial analysis and provide valuable insights for investors and policymakers seeking to understand and manage market fluctuations. This research contributes to the behavioural finance literature by elucidating the complex interplay between investor sentiment and stock market behaviour.application/pdfpt_PTMeasuring sentiment: the impact on financial markets volatilityCarvalho, Carolina e Silva Correia deGarcia, Maria Teresa MedeirosHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.pt2025-03-21T10:01:28Z2024-102024-10-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/99577http://purl.org/coar/access_right/c_abf2open accessSentimentVolatilityStock market472028 bytesliteraturehttp://purl.org/coar/resource_type/c_bdccmaster thesishttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/60fb8f1f-7be3-45d0-8513-c4bd8f99236b/download |
| spellingShingle | Measuring sentiment: the impact on financial markets volatility Carvalho, Carolina e Silva Correia de Sentiment Volatility Stock market |
| status | SINGLETON |
| subject.fl_str_mv | Sentiment Volatility Stock market |
| title | Measuring sentiment: the impact on financial markets volatility |
| title_full | Measuring sentiment: the impact on financial markets volatility |
| title_fullStr | Measuring sentiment: the impact on financial markets volatility |
| title_full_unstemmed | Measuring sentiment: the impact on financial markets volatility |
| title_short | Measuring sentiment: the impact on financial markets volatility |
| title_sort | Measuring sentiment: the impact on financial markets volatility |
| topic | Sentiment Volatility Stock market |
| topic_facet | Sentiment Volatility Stock market |
| url | http://hdl.handle.net/10400.5/99577 |
| visible | 1 |