The Impact of Retail Investors’ Sentiment on Conditional Volatility of Stocks and Bonds

@article{Hadad2022TheIO,
  title={The Impact of Retail Investors’ Sentiment on Conditional Volatility of Stocks and Bonds},
  author={Elroi Hadad and Haim Kedar-Levy},
  journal={SSRN Electronic Journal},
  year={2022}
}
We measure bond and stock conditional return volatility as a function of changes in sentiment, proxied by six indicators from the Tel Aviv Stock Exchange. We find that changes in sentiment affect conditional volatilities at different magnitudes and often in an opposite manner in the two markets, subject to market states. We are the first to measure bonds’ conditional volatility of retail investors’ sentiment thanks to a unique dataset of corporate bond returns from a limit-order-book with… 

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