论文标题
零售投资者情绪对股票和债券有条件波动的影响
The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds
论文作者
论文摘要
我们测量债券和股票条件回报波动，这是情感变化的函数，由特拉维夫证券交易所的六个指标代表。我们发现，情绪的变化会影响不同幅度的条件波动，并且在两个市场中通常以相反的方式在市场状态下以相反的方式。我们是第一个衡量零售投资者情绪有条件波动率的债券的人，这要归功于与高度活跃的零售商人的限制订单书籍中的独特企业债券回报数据集。这种市场结构与普遍的OTC平台有所不同，在该平台上，机构投资者活跃而又不易情感。
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 highly active retail traders. This market structure differs from the prevalent OTC platforms, where institutional investors are active yet less prone to sentiment.
