Cross-Country Variation in Price Volatility-Sentiment Relationship and Country Factors

Skip to main Communities My dashboard Log in Sign up There is a newer version of the record available. Published April 20, 2026 | Version v1 Journal article Open Cross-Country Variation in Price Volatility-Sentiment Relationship and Country Factors Authors/Creators Wei Hua (Researcher) 1 Show affiliations 1.

Nanjing Audit University, China Description ABSTRACT: This study examines the cross-country variation in the relationship between investor sentiment and price volatility, investigating how cultural, institutional, and economic factors moderate this dynamic. Utilizing a novel firm-level sentiment index constructed via principal component analysis (PCA) of behavioral indicators (RSI, PSY, adjusted turnover, and trading volume), I employ a Vector Autoregression (VAR) framework to analyze data from 28 countries (2007–2022). Results reveal that sentiment-driven volatility is heterogeneous across markets, with short-term overreactions followed by corrections. Power distance (PDI) exacerbates volatility, while education, legal protections, and short-selling attenuate it, highlighting the role of institutional quality in mitigating behavioral biases. The study contributes by integrating cultural dimensions with market microstructure theory, offering nuanced insights into how national contexts shape investor behavior. Files 2craj.pdf Files (607.4 kB) Name Size Download all 2craj.pdf md5:45c59bf089bfb8927d4ceb372bf05919 607.4 kB Preview Download 38 Views 19 Downloads Show more details All versions This version Views Total views 38 17 Downloads Total downloads 19 6 Data volume Total data volume 11.5 MB 3.6 MB More info on how stats are collected.... Versions External resources Indexed in OpenAIRE Communities Keywords and subjects Keywords Market sentiment, Price volatility-sentiment relationship, Power distance, Education level, Legal system Details DOI DOI Badge DOI 10.5281/zenodo.19660561 Markdown [](https://doi.org/10.5281/zenodo.19660561) reStructuredText .. image:: https://zenodo.org/badge/DOI/10.5281/zenodo.19660561.svg :target: https://doi.org/10.5281/zenodo.19660561 HTML <a href="https://doi.org/10.5281/zenodo.19660561"><img src="https://zenodo.org/badge/DOI/10.5281/zenodo.19660561.svg" alt="DOI"></a> Image URL https://zenodo.org/badge/DOI/10.5281/zenodo.19660561.svg Target URL https://doi.org/10.5281/zenodo.19660561 Resource type Journal article Publisher Contemporary Research Analysis Journal Published in Contemporary Research Analysis Journal, 03(03), 248-264, ISSN: 3050-5909, 2026. Languages English Rights License Creative Commons Attribution 4.0 International The Creative Commons Attribution license allows re-distribution and re-use of a licensed work on the condition that the creator is appropriately credited. Read more Citation Export Technical metadata Created April 20, 2026 Modified April 20, 2026 Jump up About About Policies Infrastructure Principles Projects Roadmap Contact Blog Blog Support Help FAQ Developers REST API OAI-PMH Contribute GitHub Donate Funded by Powered by CERN Data Centre & InvenioRDM Status Privacy policy Cookie policy Terms of Use This site uses cookies. Find out more on how we use cookies Accept all cookies Accept only essential cookies

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