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