INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES

This paper provides a novel perspective in determining the Granger causality of sentiment across US, Latin America, Eurozone, Japan and Asia (excluding Japan), based on monthly data covering period January 2003–November 2017. Using survey-based index “sentix”, our results suggest strong evidence nonlinearity structural breaks making use linear models unreliable. kernel-based multivariate nonlinear test, we find that runs from Eurozone to Japan, with also causing sentiment, America Japanese sentiment. Interestingly, when apply rolling estimations detect time-varying for cases Asia, bidirectional spillovers during certain months recent global financial crisis, thereafter. Overall, findings indicate sentiments US are related quite strongly as well America.