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Evidence of Investor Sentiment Contagion across Asset Markets

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  • Pan, Wei-Fong

Abstract

This study explores investor sentiment contagion across asset markets and relates specific asset market sentiments to other asset markets. The analysis reveals four main findings. First, investor sentiment highly correlates between equity markets. Second, investor sentiment in one asset market can affect those in other markets; for example, sentiments in the bond markets, particularly the US bond market, significantly Granger cause equity market sentiment, but not vice versa. Investor sentiments in the USD–JPY exchange market can Granger cause those in the Euro–USD, gold, and crude oil markets. Third, investor sentiments in the US asset markets have the largest contagion effects on asset markets given the resultant fluctuations in sentiments across other countries. Fourth, US asset market sentiments, especially bond market sentiment, can explain returns in other asset markets in different countries.

Suggested Citation

  • Pan, Wei-Fong, 2018. "Evidence of Investor Sentiment Contagion across Asset Markets," MPRA Paper 88561, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:88561
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    References listed on IDEAS

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    Cited by:

    1. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).

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    More about this item

    Keywords

    investor sentiment; contagion; asset return;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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