Affiliation:
1. Indian Institute of Technology Kanpur, India
2. Indian Institute of Management Lucknow, India
Abstract
We examine the impact of the global component of sentiment on the price return and volatility of 25 major futures market indices across the globe, during the Covid-19 pandemic. The global component of sentiment causes investor overreactions. These overreactions accelerate the fall in prices and contribute to the rising volatility levels. The futures prices revert, though gradually, to their fundamental values as information from more reliable sources becomes available. This leads to price recovery and lower volatility levels.
Publisher
University of New Haven - College of Business
Subject
Marketing,Organizational Behavior and Human Resource Management,Strategy and Management,Business, Management and Accounting (miscellaneous)
Cited by
1 articles.
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