This study presents a new European investor sentiment index, EURsent, based on new individual sentiment proxies such as VSTOXX, gold, and the German bond yield spread, and studies the spillover and contagion between the United States and Europe. Furthermore, it analyses the simultaneous...

Although some studies recently address the association between COVID-19 sentiment and returns, volatility, or stock trading volume, no one conducts an analysis to measure the impact of investor rationality or irrationality on the influence on countries and sectors' returns.This work creates a...

This paper proposes an Investor Sentiment Index for the European market and tests its predictability power over returns and volatility. The constructed Investor Sentiment Index for Europe draws upon three well-established and two recent individual sentiment proxies through a novel dynamic factor...