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On the Relationship between Investor Sentiment, VIX and Trading Volume
Simon M. S. So; Violet U. T. Lei
2016
Source PublicationRisk Governance and Control
Volume4Issue:1Pages:114-122
Abstract

As noise traders affect stock market by trading, sentiment, as a signal of noise, may have relationships with trading volume. This paper explores the effect of sentiment on the stock market’s trading volume. Increase in Volatility Index (VIX) can explain the percentage increase in trading volume, but only in high VIX period. Besides, higher level of VIX is likely to be associated with greater variability of trading volume. The noise traders add liquidity to the market and provide more chances for investors to time their trade as the volatility of liquidity increases. These two kinds of impact lower rational investors’ required return. The noise traders not only drive the price deviating from fundamental value, but also influence the liquidity dimensions.

KeywordSentiment Volatility Trading Volume
DOI10.22495/rgcv5i4c1art1
Language英语
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Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
AffiliationFaculty of Business Administration, University of Macau
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Simon M. S. So,Violet U. T. Lei. On the Relationship between Investor Sentiment, VIX and Trading Volume[J]. Risk Governance and Control,2016,4(1):114-122.
APA Simon M. S. So,&Violet U. T. Lei.(2016).On the Relationship between Investor Sentiment, VIX and Trading Volume.Risk Governance and Control,4(1),114-122.
MLA Simon M. S. So,et al."On the Relationship between Investor Sentiment, VIX and Trading Volume".Risk Governance and Control 4.1(2016):114-122.
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