Author

  • Adnen Ben Nasr

    • BESTMOD, Institute Supérieur de Gestion de Tunis, Université de Tunis, Tunisia
    • Tunisia

  • Matteo Bonato

    • Department of Economics and Econometrics, University of Johannesburg, Auckland Park, South Africa
    • South Africa

  • Riza Demirer

    • Department of Economics & Finance, Southern Illinois University Edwardsville, Edwardsville, USA
    • United States

  • Rangan Gupta

    • Department of Economics, University of Pretoria, Pretoria, South Africa
    • South Africa

Abstract

This study examines the relationship between investor sentiment and intraday return dynamics for safe haven assets, with a particular focus on crash risk in these assets. Examining intraday returns for a wide range of safe havens proposed in the literature, we find that shocks to investor sentiment have a significant effect on safest havens, while the sentiment is heterogeneous both in terms of its size and direction. While the strongest effects of sentiment shocks are observed in the case of Gold, Swiss Francs and Japanese Yen, interestingly, we find that oil stands out from the rest of the pack, responding negatively to sentiment shocks, suggesting that positive shocks to sentiment (i.e. high fear) increase crash risk for this asset. Our findings also point to intra-safe haven spillover effects, with oil exhibiting a markedly different pattern. Investment and hedging implications are discussed next.

Keywords

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How to Cite

Ben Nasr, A., Bonato, M., Demirer, R., & Gupta, R. (2019). Investor Sentiment and Crash Risk in Safe Havens. Journal of Economics and Behavioral Studies, 10(6A(J), 97-108. https://doi.org/10.22610/jebs.v10i6A.2666

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Copyright (c) 2019 Adnen Ben Nasr, Matteo Bonato, Riza Demirer, Rangan Gupta (Author)

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Research Paper

Published in

Vol. 10 No. 6A(J) (2018) Workplace, Finance & Governance in African Contexts View issue contents

Published

2019-01-16

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