Analysing investor sentiment and stock market volatility of the JSE size-based indices : a GARCH-MIDAS approach
Thiasha Naidoo, Peter Moores-Pitt, Paul-Francois Muzindutsi, Kazeem O Isah
| Year of publication: |
2025
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|---|---|
| Authors: | Naidoo, Thiasha ; Moores-Pitt, Peter ; Muzindutsi, Paul-Francois ; O Isah, Kazeem |
| Published in: |
Risk management : an international journal. - Berlin : Springer Nature Limited, ISSN 1743-4637, ZDB-ID 2180561-1. - Vol. 27.2025, 3, Art.-No. 14, p. 1-23
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| Subject: | GARCH-MIDAS | Investor sentiment | Size-based indices | South Africa | Volatility | Volatilität | Südafrika | Anlageverhalten | Behavioural finance | Börsenkurs | Share price | Wirtschaftsindikator | Economic indicator | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-025-00165-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015450671