Investor Fear Research Articles

A STUDY ON INVESTORS’ PERCEPTION TOWARDS STOCK MARKET

The stock market occurs from the interaction of a group of buyers (investors) and sellers of shares (companies), who represent ownership of the business. Stock market has become an attractive investment avenue for most of the investors, and stock market has enormously grown over the years. But lot of investors fear to invest in stock market due to the volatility often seen in share market. The risk often undertaken by the investors in share market huge and there exist fear among the investors of losing their hard-earned income. Even though the return, the investors receive in stock market is high, the investors need to bear an equal amount of risk as well as moreover the investors must sure of which investment avenue, they are selecting in order to ensure high returns. The stock market has become an attractive and profitable investment today for investors and the stock market has grown rapidly over the years and is getting more and more attention because it deals with the future of money. However, a lot of investors are still worried to invest in stock market today, even investing in stock market results a huge profit. This reason can be the volatility in stock market. Therefore, this study focused on the investors’ perceptions towards stock market in different geographical areas. The data collected through online interview and distributing questionnaires to respondents in order to understand their behaviors, attitudes, desires, perspectives and level of awareness towards the stock market. It was that there are many factors influencing the investor’s decision such as risk return, tax benefits, maturity period, capital appreciation and safety of principal. But majority of the International Journal of Scientific Research in Engineering and Management (IJSREM) Volume: 06 Issue: 05 | May - 2022 Impact Factor: 7.185 ISSN: 2582-3930 © 2022, IJSREM | www.ijsrem.com DOI: 10.55041/IJSREM12897 | Page 2 investors believed returns is the most important factor influencing their decision. The highest number of investors preferred to invest in stocks, when compared to mutual funds and derivatives. The study also revealed that majority of the investors took their own decision to invest, whereas some of the investors were influenced by Workshops, Seminars, Advertisements and newspapers. Thus, study attempted to learn the behavior of the investors towards stock market.

Breaking the Barriers to Innovation in Kidney Care: The Time is Now.

Breaking the Barriers to Innovation in Kidney Care: The Time is Now.

High-dimensional VARs with common factors

This paper studies high-dimensional vector autoregressions (VARs) augmented with common factors that allow for strong cross-sectional dependence. Models of this type provide a convenient mechanism for accommodating the interconnectedness and temporal co-variability that are often present in large dimensional systems. We propose an ℓ1-nuclear-norm regularized estimator and derive the non-asymptotic upper bounds for the estimation errors as well as large sample asymptotics for the estimates. A singular value thresholding procedure is used to determine the correct number of factors with probability approaching one. Both the LASSO estimator and the conservative LASSO estimator are employed to improve estimation precision. The conservative LASSO estimates of the non-zero coefficients are shown to be asymptotically equivalent to the oracle least squares estimates. Simulations demonstrate that our estimators perform reasonably well in finite samples given the complex high-dimensional nature of the model. In an empirical illustration we apply the methodology to explore dynamic connectedness in the volatilities of financial asset prices and the transmission of ‘investor fear’. The findings reveal that a large proportion of connectedness is due to the common factors. Conditional on the presence of these common factors, the results still document remarkable connectedness due to the interactions between the individual variables, thereby supporting a common factor augmented VAR specification.

The Impact of Sudden Public Health Events on the Insurance Companies' Investment Returns: Based on the Investors' Sentiment Perspective.

This study analyzes the conflicting effects of investors' sentiment caused by public health emergencies and uses event analysis methods and linear regressions to examine the impact of such emergencies on the stock prices of insurance companies. The study shows that public health emergencies have a positive and significant impact on insurance companies' portfolios through investors' sentiment, which is persistent. However, the investor fear index triggered by public health emergencies is negatively associated with insurance stock portfolio returns. Meanwhile, insurers with smaller market capitalization are more strongly influenced by investors' sentiment than those with larger market capitalization.

«ЗЕЛЕНА» ЕНЕРГЕТИКА ЯК ІНСТРУМЕНТ НАБУТТЯ ЕНЕРГЕТИЧНОЇ НЕЗАЛЕЖНОСТІ ВІТЧИЗНЯНИМИ ПІДПРИЄМСТВАМИ

The article is devoted to the study of the issue of preventing the energy crisis in the country and providing domestic enterprises with energy independence. Modern realities have demonstrated the possibility of nuclear terror and the world's dependence on extractive resources - oil, natural gas, and coal. This dependence is detrimental because such resources are non-renewable and their price is increasing every day, so replacing these resources should be the main concern of all civilized countries today. In this regard, alternative energy sources were analyzed in detail, namely, the current state of «green» energy in Ukraine, the legislative basis, the most effective type of renewable energy sources for the vast majority of enterprises, the advantages and disadvantages of this type of power plant. The prospects and feasibility of transition to ecological ones were determined types of energy, taking into account the peculiarities of the economy and the current political situation. The article also provides and analyzes the energy balance of the country, its structure, explores the possibilities of using «green» energy as a tool for providing companies with stable electricity for their own production facilities, the amount of necessary investments in terms of the planned capacity, their payback and feasibility in general, the main influencing factors on payback. An example of the domestic enterprise's use of alternative sources both for its own consumption and for sale to the state at a "green" tariff is considered. Since the investment is significant and obstacles such as the rising dollar make it difficult, not all businesses can afford to use renewable energy sources. The war adjusted the plans of all citizens of Ukraine, and the process of attracting investment slowed down significantly, which is due to the fear of investors to invest. In this regard, the world experience in the implementation of projects in the field of renewable energy was considered, the issue of creating energy cooperatives was investigated, and the possibility of their creation in Ukrainian realities, the main advantages, were determined.

The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk

This study employs the Markov-switching vector correction model (MRS-VECM), in which the magnitude of cointegration and correlation are conditional on the regime of the volatility of volatility indexes, to examine the dynamic interrelations between the oil-equity volatility indexes. The CBOE crude oil volatility index (OVX) and stock market volatility index (VIX) are used as a proxy of the oil and equity market volatility index, respectively. Our empirical results and their implications are summarized as follows. First, there is a long-run cointegration relationship between OVX and VIX. Adjustments maintaining the relationship take place on OVX, which is evidence that the revelation of investor fears, proxied by the volatility index, is focused on the equity market. Second, the magnitude of cointegration and correlation between the OVX and VIX under the regime of high volatility-of-volatility risk is greater than that at the low risk. These results imply that the fear gauge of oil and equity markets moves in tandem, particularly during times of economic distress and uncertainty.

Fear in commodity return prediction

Stock variance, which is the sum of squared daily returns on the S&P 500, implies the level of investor fear in stock market and performs well at predicting the return of index commodity futures. This prediction still holds after controlling for the sample period and macroeconomic variables. Also, the fear index performs very well at predicting index commodity futures returns out-of-sample, and the asset allocation exercise based on predictive regressions also shows that stock variance generates economic performance. The results remain robust while considering different macroeconomic conditions, such as recession (expansion), contango (backwardation), or inflation up (down).

Market fear, investor mood, sentiment, economic uncertainty and tourism sector in the United States amid COVID-19 pandemic: A spillover analysis

The study investigates and confirms the spillover effects from investor fear, mood, sentiment and uncertainty to the US tourism sector returns. The findings indicate that market fear, investor mood and sentiment are net transmitter of shocks and economic uncertainty and the tourism sector is net receiver of shocks. We also provide evidence that media-hype, infodemic, media-coverage related to COVID-19 and infectious disease equity market volatility impacts the total and directional spillover of information from fear, mood, sentiment and uncertainty to the tourism sector.

Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies

This paper explores the profitability of simple short-term cross-sectional trading strategies based on the implied volatility index (VIX), often referred to as an “investor fear gauge” in the stock market. These strategies involve holding sentiment-prone stocks when VIX is low and sentiment-immune stocks when VIX is high and generate significantly higher excess returns than the benchmark long–short portfolios that do not condition on VIX. We show that the profitability of our trading strategies is not subsumed by the well-known risk factors or transaction cost adjustments. Our findings are consistent with the theory of delayed arbitrage and the synchronization problem of Abreu and Brunnermeier (2002).

Do Managers' Nonnative Accents Influence Investment Decisions?

ABSTRACTReactions to earnings calls are sensitive to subtle features of managers' speech, but little is known about the effect of nonnative accents in this setting. Nonnative-accented CEOs may avoid holding calls in English for fear of investors' negative stereotypes. However, theory indicates that stereotypes from the CEO position and nonnative accents conflict, and that the process of reconciling conflicting stereotypes requires effortful processing. We use a series of four experiments to test each link of the causal chain that we hypothesize based on this theory. We demonstrate that motivated investors reconcile conflicting stereotypes by inferring exceptional qualities, such as hard work and determination, that positively affect their impressions of nonnative-accented CEOs and, hence, of the company as an investment. We also show that, because bad news stimulates effortful processing, investors receiving bad (versus good) news are more likely to form a positive image of nonnative-accented CEOs and their companies.Data Availability: Contact the authors.

On the persistence of market sentiment: A multifractal fluctuation analysis

This paper applies multifractal detrended fluctuation analysis to study the multifractal property and temporal persistence of U.S. and European stock market sentiment, providing deeper insights into investor behavior. The findings indicate that the average sentiment is anti-persistent, understood as a general tendency for investors to overreact. The multifractal spectrum has a significant width in both markets, which comes with a substantial variation in local sentiment persistence. Analyses show that the current sentiment persistence is positively related to the level of market mood. Hence, investor fear is related to overreacting, while optimism is more closely to a random walk. This result is of potential interest for investment strategies, but is also likely to affect the stability of a financial market. Conclusions are drawn from financial option and survey data.

Stock price reactions to information about top managers

This article uses an event study to investigate the response of a bank’s stock price to information related to these banks’ top managers. In the first event, the Vice Chairman of the founding board of Asia Commercial Bank (ACB) was arrested and the Chief Executive Officer (CEO) of this bank was summoned by the police for questioning. The second event related to the immediate resignation of the Chairman of the Board of Directors of Sacombank (STB) after he received a summons from the investigating police agency. Both of these events happened in Vietnam. The research results showed that unanticipated events (the first event) caused the share prices of both banks to react more strongly, and the impact time was longer than the second event. The first event resulted in the cumulative abnormal returns of ACB and STB being –23.6% and –9.1%. The second event has been found to be directly related to STB, but does not significantly affect this stock, but has a significant effect on the abnormal return of ACB (AR (1) = –4.6%). Asymmetric information, inattention and investor fear of event-related losses may explain this phenomenon.

Does disease outbreak news impact equity, commodity and foreign exchange market? Investors' fear of the pandemic COVID-19

PurposeMarket volatility is subject to good or bad news and even responses to fake news and policy changes. In this piece of work, the authors consider the effects of the recent COVID-19 pandemic event on the global equity market, commodities and FX market, measured in terms of the investors' fear index.Design/methodology/approachIn this empirical work, the authors employ time series-based regression models followed by augmented dummy regressions and growth of the COVID-19.FindingsCOVID-19-induced investors' fear appears to be higher in the equity segment for the first time since the market crash of 1987 and the global financial crisis of 2008–2009. Furthermore, this disease outbreak shock has been more pronounced in terms of crude oil prices. Besides, a market participant in the commodity and FX market has paid a disproportionate premium to protect such pandemic development. Findings show that Options act as the best hedge against an uncertainty like COVID-19 and that option-based implied volatility is the best measure of investors' fear and market volatility.Practical implicationsThis study has practical implications for the financial markets, e.g. (1) Contagious disease outbreak news matters for the equity, commodity, and foreign exchange markets – empirical outcome validates the theory of market efficiency valid for the Options. (2) Option's implied volatility is the best indicator of investor fear measured for the unprecedented economic news. Further implication holds for the policymakers and society, e.g. (1) The unavailability of short-selling could be one plausible reason for increased uncertainty and volatility; hence, policymakers should look upon this issue at the exchange level. (2) Any market needs multiple lines of risk management, effective price discovery and attractive liquidity.Originality/valueThe study is novel in terms of presenting market behavior amid COVID-19 across global equity markets and commodities and FX markets.

Are Cryptos Safe-Haven Assets during Covid-19? Evidence from Wavelet Coherence Analysis

ABSTRACT This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and cryptocurrency returns. Our findings show that a non-financial market-based proxy of market stress that represents fear of households and retail investors reveals cryptocurrencies as safe-haven assets; however, a financial market-based proxy of market turbulence exposes that cryptocurrencies behave like traditional assets during the times of Covid-19 pandemic. Our findings support that long-term investors can invest in the cryptocurrency market to hedge the risks during Covid-19 pandemic.

Relationship between Bitcoin Exchange Rate and Other Financial Indexes in Time Series

The Bitcoin exchange rate (BER) is influenced by many variables such as human speculation and policies and, thus, is dependent on the financial system. The fluctuation of BER submitted has been extensively investigated. However, the correlation analysis of the short- and long-term effects by indicators of online sentiment is unexplored. Therefore, this study establishes a VAR model for BER which provides a framework to the Google search volume index (SVI), the investor fear gauge (VIX), and the S&P500 Index. The findings of the analysis suggest that BER and Google SVI have a Granger causality feedback relationship in both the short- and long-term co-integration equilibrium, and the VIX is significantly related to BER in the long-term co-integration.

Designing volatility indices for Austria, Finland and Spain

The volatility index of the Chicago Board Options Exchange (VIX) was the first to be established, and it has given rise to international imitations worldwide as it is considered to be a barometer of investor fear. Starting from this volatility index, the aim of this paper is threefold. By adopting the VIX methodology, we construct a volatility index for three European countries (Austria, Finland and Spain) which currently do not provide this kind of market information for investors. Second, we investigate the properties of various volatility indices. In particular, we test their ability to act as fear indicators and as predictors of future returns. Moreover, we seek to cast light on the term structure of the proposed volatility indices, by computing spot and forward implied volatility indices for different times to maturity (30, 60 and 90 days). Our results indicate that volatility indices are useful not only for investors to improve their trading decisions, but also for policy-makers to choose the appropriate economic measures to promote stability in the market.

Capital Meets Democracy: The Impact of Franchise Extension on Sovereign Bond Markets

AbstractBy giving political rights to poor voters, do democratic political institutions pose a risk to concentrated wealth held in the form of financial capital? This article draws lessons from the reaction of sovereign bond markets to franchise extensions between 1800 and 1920. If franchise extension transferred political power from economic and financial elites to workers, as redistributive theories of democratization suggest, then this should have resulted in a fall in the market price (increase in the yield) of a country's bonds. Exploiting the asynchronous timing of franchise reforms across countries, we provide evidence that franchise extension contributed to large increases in the premium demanded by investors to hold sovereign debt, reflecting investor fears of default. However, bond markets became less sensitive to franchise extensions over time, a pattern potentially due to the structure of inequality and the strategic adoption of institutions which protected financial interests.

Measuring the global economic impact of the coronavirus outbreak: Evidence from the main cluster countries

This study measures the global economic impact of the coronavirus outbreak. This pandemic is characterized by demand and supply shocks, leading to restrictions on trade, product and service transactions, and capital flow mobility. We investigate its impact on currency markets, stock market performance, and investor fear sentiment. We employ an empirical, time-scale approach based on the continuous wavelet transform—appropriate for time-series characteristics during times of turmoil. Based on daily data for four main cluster countries (China, France, Italy, and the USA), our results show that the impact of the pandemic's evolution on the main economic indicators in China exhibits a different pattern from France, Italy, and the USA. For China, our results show that the pandemic evolution co-moves with the main economic indicators only in the short term (one week). The effect is more persistent in other countries. We also show that the main economic indicators are more sensitive to pandemic evolution assessed by the number of deaths rather than number of cases, and that currency and financial markets are affected in different timescales. These findings might assist policymakers in addressing the feedback loop between currency markets and capital flows and help investors find alternative assets to hedge against heath shocks.

On the relation between Pandemic Disease Outbreak News and Crude oil, Gold, Gold mining, Silver and Energy Markets

Fear of the disease outbreak news (DONs) has shocked commodity markets and raised the likelihood of economic uncertainty and recession globally. This article examines the unprecedented overreaction of investors sentiments in the commodities such as Crude oil, Gold, Gold Mining, Silver, and the Energy sector. The deadly effects of DONs-COVID-19 in the commodities market have been the worst in history; it appeared the first time higher than the common stock's volatility. Covid-19 induced economic uncertainty has impacted severely through all commodities except the safe-haven Gold (GVZ). Importantly, ETF Options based Implied Volatility Index of Crude (OVX), Silver (VXSLV), and Energy (VXXLE) stocks have crossed the peak level what it was prevailing during the global financial crisis 2008. The unparalleled upsurge of the implied volatility index across all commodities indicates higher demand for the hedge funds to protects the commodity portfolio. ETF options on the commodity act as the best hedge against market uncertainty. Overburden on the put option results in an increased risk premium, henceforth higher expected volatility. ETF options truly measure the investor's fear of predominant in the commodity market.

The skewness index: uncovering the relationship with volatility and market returns

ABSTRACT The SKEW index of the Chicago Board Options Exchange (CBOE), launched in February 2011, measures the tail risk not fully captured by the VIX index. In this paper we introduce, for the first time, a skewness index for the Italian stock market (ITSKEW) and investigate the pairwise and trilateral relations of this index with volatility and market returns. The results are compared with those of the US market. Data for the period 3 January 2011 to 29 December 2017 are used and three main results are found. First, in both the US and the Italian markets, the skewness index acts as a measure of market greed, as opposed to market fear, in the sense that it captures investor excitement to a larger extent than investor fear. Second, increases in the skewness index are related to returns with high significance in the Granger causality test, while the reverse is not the case. Last, volatility and skewness may give conflicting signals. When skewness and volatility indices move in the same direction, investors should rely on volatility because it has a stronger influence on market returns. The implications for investors and policy-makers are outlined.