We are grateful to the editor and two anonymous reviewers for valuable comments that greatly improved the paper. We also thank Mathieu Gex, Sandra Kamasukiri, and Barbara Brough for their helpful comments and suggestions.
How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data
Article first published online: 5 OCT 2011
© 2011, The Eastern Finance Association
Volume 46, Issue 4, pages 723–747, November 2011
How to Cite
Zouaoui, M., Nouyrigat, G. and Beer, F. (2011), How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data. Financial Review, 46: 723–747. doi: 10.1111/j.1540-6288.2011.00318.x
- Issue published online: 5 OCT 2011
- Article first published online: 5 OCT 2011
- investor sentiment;
- noise trader;
- stock market crises
We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises. We find that investor sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of investor sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior, overreaction and low institutional involvement.