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    The Effects of Investor Sentiment and the Conditional Volatility in New Zealand Stock Market

    Buranavityawut, Nonthipoth

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    Buranvityawut, N - ARA Conference Paper.pdf (551.2Kb)
    Date
    2013
    Citation:
    Buranavityawut, N. (2013). The effects of investor sentiment and the conditional volatility in New Zealand stock market. Paper presented at Auckland Region Accounting Conference, Auckland, New Zealand
    Permanent link to Research Bank record:
    https://hdl.handle.net/10652/2794
    Abstract
    Using New Zealand market data, this paper provides additional evidence to support recent studies that investor sentiment moves stock prices and, in turn, influences expected returns. It also adds to a number of previous studies that investor sentiment influences the market volatility, and hence the mean-variance relation. The findings in this study help confirm that investor sentiment is time-varying.
    Keywords:
    New Zealand share market, share prices, investor sentiment
    ANZSRC Field of Research:
    150299 Banking, Finance and Investment not elsewhere classified
    Copyright Holder:
    The Authors

    Copyright Notice:
    All rights reserved
    Rights:
    This digital work is protected by copyright. It may be consulted by you, provided you comply with the provisions of the Act and the following conditions of use. These documents or images may be used for research or private study purposes. Whether they can be used for any other purpose depends upon the Copyright Notice above. You will recognise the author's and publishers rights and give due acknowledgement where appropriate.
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    • Accounting and Finance Conference Papers [70]

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