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Realized Stock Market Volatility of the United States: The Role of Employee Sentiment

Author

Listed:
  • Rangan Gupta

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Savanah Hall

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • Christian Pierdzioch

    (Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008 Hamburg, Germany)

Abstract

Using data for the US stock market covering the sample period from 2008:06 to 2020:12, we study the incremental predictive value of employee sentiment for the realized volatility of stock returns. In doing so, we control for four different measures of investor sentiment and various macroeconomic and financial factors an uncertainties. We report results for several combination of forecast horizons and estimation windows and find that employee sentiment contributes to forecast accuracy for several of combinations.

Suggested Citation

  • Rangan Gupta & Savanah Hall & Christian Pierdzioch, 2023. "Realized Stock Market Volatility of the United States: The Role of Employee Sentiment," Working Papers 202319, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202319
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    Keywords

    Stock market volatility; Investor sentiment; Employee Sentiment; Forecasting;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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