A0184
Title: Investor sentiment and tail risk spillovers
Authors: Petre Caraiani - Bucharest University of Economic Studies (Romania) [presenting]
Anghel Dan Gabriel - Bucharest University of Economic Studies (Romania)
Abstract: High-frequency data is used to construct measures of sentiment spillovers for financial stocks listed in the United States. A statistically and economically significant response of tail risk spillovers to investor sentiment spillovers is then tested and found. Significant effects are found for both positive and negative sentiment. For the former, this leads to dampening tail risk spillovers, while for the latter, tail risk spillovers are amplified.
