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O impacto das notícias do COVID-19 e o sentimento dos investidores no preço das ações europeias, uma análise regional, nacional e do setor econômico

Author

Listed:
  • Oscar V. De la Torre-Torres

    (Universidade Estadual de Michoacán -UMSNH-Morelia)

  • Dora Aguilasocho-Montoya

    (Universidade Estadual de Michoacán -UMSNH-Morelia)

  • Leticia Bollain-Parra

    (Saint Nicholas and Hidalgo’s, Michoacán State University (UMSNH) Morelia, México)

  • Amador Durán-Sánchez

    (Departamento de Economia Financeira e Contabilidade, Universidade de Extremadura)

Abstract

No presente artigo estendemos o Fama-French (FF), modelo de três fatores, incluindo os índices de volatilidade implícita U.S. VIX e European VSTOXX. Além disso, o índice de incerteza da política econômica de Baker, Bloom Davis, Kost e Renault (WEUI), pandemias (WPUI) e mídia social (TWITUI) foram incluídos. Fizemos isso para testar se os principais mercados de ações da Europa Oriental, do Norte, do Sul e do Oeste poderiam ser precificados com vieses comportamentais, como o sentimento do investidor. Com um painel de dados balanceado de 659 empresas europeias de janeiro de 2017 a junho de 2021, descobrimos que o WPUI poderia ser usado em uma perspectiva regional, juntamente com os fatores VIX e TWITUI. Em uma perspectiva específica do país, apenas a inclusão do fator TWITUI levou a resultados mais adequados na Finlândia, Irlanda, Holanda, Polônia, Espanha e Suécia. Nossos resultados sugerem que outros índices de sentimento de notícias pandêmicas devem ser desenvolvidos e usados nos principais mercados de ações europeus e encorajar o uso de proxies de sentimento do investidor de mídia social em modelos multifatoriais de precificação de risco e de ativos.

Suggested Citation

  • Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & Leticia Bollain-Parra & Amador Durán-Sánchez, 2022. "O impacto das notícias do COVID-19 e o sentimento dos investidores no preço das ações europeias, uma análise regional, nacional e do setor econômico," RPER, Associação Portuguesa para o Desenvolvimento Regional, issue 60, pages 165-177, January.
    • Handle: RePEc:apd:rper00:y:2022:i:60:id:69
    DOI: 10.59072/rper.vi60.69
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    References listed on IDEAS

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