Title: Measuring stocks returns and investor sentiment spillovers in developed markets

Authors: Dorsaf Ben Aissia; Nizar Neffati

Addresses: Higher Institute of Accounting and Business Administration, University of Manouba, Manouba, 2010, Tunisia ' Higher Institute of Computer Science and Management, University of Kiarouan, Kairouan, 3100, Tunisia

Abstract: This study investigates the spillover of returns and investor sentiment in developed markets during the global financial crisis periods. Based on data from six developed stock market indexes ranging from January 1995 to December 2020, it uses the methodology introduced by Diebold and Ylmaz (2014) and its dynamic extensions. Findings show that local sentiment measures are interconnected. Moreover, our results suggest that sentiment connectedness across the analysed stock market indexes are more pronounced during the global financial crisis periods.

Keywords: spillovers; investor sentiment metrics; stocks market returns; connectedness; global financial crisis.

DOI: 10.1504/GBER.2024.139309

Global Business and Economics Review, 2024 Vol.31 No.1, pp.1 - 22

Received: 03 Aug 2022
Accepted: 06 Jan 2023
Published online: 01 Jul 2024 *

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