This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. … heteroscedasticity models. Overall, findings showed a negative relationship between prevailing sentiment and subsequent returns and a …

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …

, return volatility, and price dispersion. Our results show that as short-term investors exit the market, market returns are …