TY - JOUR
T1 - Public reaction to stock market volatility
T2 - evidence from the ATUS
AU - Payne, Patrick
AU - Browning, Christopher
AU - Kalenkoski, Charlene M.
N1 - Publisher Copyright:
© 2016 Taylor & Francis.
PY - 2016/11/21
Y1 - 2016/11/21
N2 - How does the public react to changes in the stock market? We know from the existing body of research that sentiment can predict future stock-market movements. However, do market movements affect sentiment? This article addresses these questions by testing whether market movements precede changes in the emotional well-being of the general public. Using Granger causality analysis, we compare how market movements affect public well-being during periods of increased (2010) and decreased (2012) volatility. The results show that 30-day-lagged returns are associated positively and significantly with the public’s emotional well-being, and that this effect is stronger during periods of increased volatility. The results also show that this effect may persist for up to 120 days.
AB - How does the public react to changes in the stock market? We know from the existing body of research that sentiment can predict future stock-market movements. However, do market movements affect sentiment? This article addresses these questions by testing whether market movements precede changes in the emotional well-being of the general public. Using Granger causality analysis, we compare how market movements affect public well-being during periods of increased (2010) and decreased (2012) volatility. The results show that 30-day-lagged returns are associated positively and significantly with the public’s emotional well-being, and that this effect is stronger during periods of increased volatility. The results also show that this effect may persist for up to 120 days.
KW - Well-being
KW - investments
KW - sentiment
KW - stock market
UR - http://www.scopus.com/inward/record.url?scp=84958056404&partnerID=8YFLogxK
U2 - 10.1080/13504851.2016.1142651
DO - 10.1080/13504851.2016.1142651
M3 - Article
AN - SCOPUS:84958056404
SN - 1350-4851
VL - 23
SP - 1197
EP - 1200
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 17
ER -