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Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective

Author

Listed:
  • Michael Graham
  • Jussi Nikkinen
  • Jarkko Peltomäki
Abstract
This article considers web-based global investors’ crash fears as a gauge of global investors’ fears, and examines its effect on stock market volatility in a sample of emerging stock markets. We show that an increase in global investors’ crash fears significantly affects the volatility of stock index returns in emerging markets. The results are robust to the inclusion of the conventional investor sentiment/fear gauge measure, VIX. Thus broadening the set of measures of global investors’ fears is important when explaining emerging market volatilities. JEL Classification: F30, G11, G15

Suggested Citation

  • Michael Graham & Jussi Nikkinen & Jarkko Peltomäki, 2020. "Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 127-153, August.
    • Handle: RePEc:sae:emffin:v:19:y:2020:i:2:p:127-153
    DOI: 10.1177/0972652719877473
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    More about this item

    Keywords

    Investor fear; volatility; emerging markets; African stock markets;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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