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The contribution of investor sentiment in explaining stock market crises: a panel data analysis
[L'apport du sentiment de l'investisseur dans l'explication des crises boursières : une analyse en données de panel]

Author

Listed:
  • Mohamed Zouaoui
  • Geneviève Nouyrigat

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique)

  • Francisca Beer

Abstract

A lively debate on the link between investor behaviour and financial markets has developed over the last decade. Our present study tests the impact of investor sentiment on a panel of international stock markets and the influence of investor sentiment on the probability of stock market crises. Our results show that stock market crises are preceded by periods of rising investor euphoria, and the higher the level of investor sentiment, the greater the probability of a crisis occurring within 1 year.

Suggested Citation

  • Mohamed Zouaoui & Geneviève Nouyrigat & Francisca Beer, 2011. "The contribution of investor sentiment in explaining stock market crises: a panel data analysis [L'apport du sentiment de l'investisseur dans l'explication des crises boursières : une analyse en do," Post-Print hal-04533468, HAL.
    • Handle: RePEc:hal:journl:hal-04533468
    DOI: 10.3917/mav.041.0351
    Note: View the original document on HAL open archive server: https://hal.science/hal-04533468v1
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    References listed on IDEAS

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