Contagious Investor Sentiment and International Markets
研究了六个发达股票市场的投资者情绪指数，发现情绪相关性在市场下跌时更高，并能预测未来一年的市场回报相关性，尤其在熊市期间预测力更强。
The authors use a new index of investor sentiment for six developed stock markets to determine how the correlations of sentiment impact future market return correlations. Statistical analysis reveals three findings. First, sentiment is more correlated during periods when both market returns are declining. Second, the correlations of sentiment can significantly forecast future one-year stock market return correlations. Third, the correlations of sentiment have stronger predictive power for future return correlations during bear periods than they do during bull periods for the United States and other market pairs. The authors’ findings provide a partial explanation of why return correlations between different markets increase during financial crises. <b>TOPICS:</b>Security analysis and valuation, statistical methods, emerging, financial crises and financial market history