This study attempts to analyze the effects of investor sentiment on volatility of nine stock markets, and capture the asymmetry in terms of negative and positive news during the period from January, 2004 to June, 2015. Empirical evidence from a sentiment-augmented TGARCH model demonstrates that...

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...