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Two Essays On The Impact Of Rational And Irrational Investor Sentiments On Equity Market Return And Volatility: Evidence From The U.S. And Brazil, Pablo Javier Calafiore
Two Essays On The Impact Of Rational And Irrational Investor Sentiments On Equity Market Return And Volatility: Evidence From The U.S. And Brazil, Pablo Javier Calafiore
Theses and Dissertations - UTB/UTPA
This dissertation consists of two essays on how investor sentiments affect the returns and volatility of the Brazilian stock market. Both essays share a similar methodological approach. The first one analyzes the effect of investor sentiments on the returns and volatility of the Brazilian stock market using a model that accounts for fundamentals (rational) and noise components (irrational) of investor sentiments on the Sao Paulo leading index Bovespa. This research finds a statistically significant positive (negative) impact of rational (irrational) sentiments on market returns. Moreover, there are statistically significant impacts of irrational components of the sentiment indexes on Bovespa volatility …