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
- Investor Sentiment Search this journal for Investor Sentiment (opens in a new tab)
- Safe Haven Assets Search this journal for Safe Haven Assets (opens in a new tab)
- Intraday Returns Search this journal for Intraday Returns (opens in a new tab)
- Crash Risk Search this journal for Crash Risk (opens in a new tab)
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Copyright (c) 2019 Adnen Ben Nasr, Matteo Bonato, Riza Demirer, Rangan Gupta (Author)
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Keywords
- Investor Sentiment Search this journal for Investor Sentiment (opens in a new tab)
- Safe Haven Assets Search this journal for Safe Haven Assets (opens in a new tab)
- Intraday Returns Search this journal for Intraday Returns (opens in a new tab)
- Crash Risk Search this journal for Crash Risk (opens in a new tab)
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Vol. 10 No. 6A(J) (2018)
Workplace, Finance & Governance in African Contexts
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