O impacto das notícias do COVID-19 e o sentimento dos investidores no preço das ações europeias, uma análise regional, nacional e do setor econômico

Autores

  • Oscar V. De la Torre-Torres Universidade Estadual de Michoacán -UMSNH-Morelia
  • Dora Aguilasocho-Montoya Universidade Estadual de Michoacán -UMSNH-Morelia
  • Leticia Bollain-Parra Saint Nicholas and Hidalgo’s, Michoacán State University (UMSNH) Morelia, México
  • Amador Durán-Sánchez Departamento de Economia Financeira e Contabilidade, Universidade de Extremadura

Palavras-chave:

sentimento do investidor, preços de ações europeus, setor econômico, COVID-19

Resumo

No presente artigo estendemos o Fama-French (FF), modelo de três fatores, incluindo os índices de volatilidade implícita U.S. VIX e European VSTOXX. Além disso, o índice de incerteza da política econômica de Baker, Bloom Davis, Kost e Renault (WEUI), pandemias (WPUI) e mídia social (TWITUI) foram incluídos. Fizemos isso para testar se os principais mercados de ações da Europa Oriental, do Norte, do Sul e do Oeste poderiam ser precificados com vieses comportamentais, como o sentimento do investidor. Com um painel de dados balanceado de 659 empresas europeias de janeiro de 2017 a junho de 2021, descobrimos que o WPUI poderia ser usado em uma perspectiva regional, juntamente com os fatores VIX e TWITUI. Em uma perspectiva específica do país, apenas a inclusão do fator TWITUI levou a resultados mais adequados na Finlândia, Irlanda, Holanda, Polônia, Espanha e Suécia. Nossos resultados sugerem que outros índices de sentimento de notícias pandêmicas devem ser desenvolvidos e usados nos principais mercados de ações europeus e encorajar o uso de proxies de sentimento do investidor de mídia social em modelos multifatoriais de precificação de risco e de ativos.

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Publicado

24-01-2022

Como Citar

Torre-Torres , O. V. D. la, Aguilasocho-Montoya , D., Bollain-Parra, L., & Durán-Sánchez , A. . (2022). O impacto das notícias do COVID-19 e o sentimento dos investidores no preço das ações europeias, uma análise regional, nacional e do setor econômico. RPER, (60), 165–177. Obtido de https://review-rper.com/index.php/rper/article/view/69

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