ASYMMETRIC IMPACT OF INVESTOR SENTIMENT ON BRAZILIAN STOCK MARKET VOLATILITY

FERREIRA, TALIEH S. V.; MACHADO, MÁRCIO A. V.; SILVA, POLYANDRA Z. P.

doi:10.1590/1678-6971/eRAMF210208

TALIEH S. V. FERREIRA Correspondence concerning this article should be addressed to Talieh S. V. Ferreira, Cidade Universitária, campus I, Castelo Branco, João Pessoa, Paraíba, Brazil, CEP 58051-900. E-mail: taliehv@gmail.com

Federal University of Paraíba (UFPB), João Pessoa, PB, Brazil.

Talieh S. V. Ferreira, Ph.D. from the Department of Management, Federal University of Paraíba (UFPB); Márcio A. V. Machado, Ph.D. from the Department of Management, University of Brasília (UnB); Polyandra Z. P. Silva, MSc. from the Department of Accounting, University of Brasília (UNB). Talieh S. V. Ferreira is now a research fellow at Center for Research on Finance and Accounting (GFIC) and Center for Research on Accounting and Capital Markets (Necmec) of UFPB; Márcio A. V. Machado is now an associate professor at the Department of Management of UFPB; Polyandra Z. P. Silva is now an assistant professor at the Department of Accounting of Federal University of Cariri (Ufca).

https://orcid.org/0000-0002-4621-3533

MÁRCIO A. V. MACHADO

Federal University of Paraíba (UFPB), João Pessoa, PB, Brazil.

Talieh S. V. Ferreira, Ph.D. from the Department of Management, Federal University of Paraíba (UFPB); Márcio A. V. Machado, Ph.D. from the Department of Management, University of Brasília (UnB); Polyandra Z. P. Silva, MSc. from the Department of Accounting, University of Brasília (UNB). Talieh S. V. Ferreira is now a research fellow at Center for Research on Finance and Accounting (GFIC) and Center for Research on Accounting and Capital Markets (Necmec) of UFPB; Márcio A. V. Machado is now an associate professor at the Department of Management of UFPB; Polyandra Z. P. Silva is now an assistant professor at the Department of Accounting of Federal University of Cariri (Ufca).

https://orcid.org/0000-0003-2635-5240

POLYANDRA Z. P. SILVA

Federal University of Cariri (Ufca), Juazeiro do Norte, CE, Brazil.

Talieh S. V. Ferreira, Ph.D. from the Department of Management, Federal University of Paraíba (UFPB); Márcio A. V. Machado, Ph.D. from the Department of Management, University of Brasília (UnB); Polyandra Z. P. Silva, MSc. from the Department of Accounting, University of Brasília (UNB). Talieh S. V. Ferreira is now a research fellow at Center for Research on Finance and Accounting (GFIC) and Center for Research on Accounting and Capital Markets (Necmec) of UFPB; Márcio A. V. Machado is now an associate professor at the Department of Management of UFPB; Polyandra Z. P. Silva is now an assistant professor at the Department of Accounting of Federal University of Cariri (Ufca).

https://orcid.org/0000-0002-9520-7826

Correspondence concerning this article should be addressed to Talieh S. V. Ferreira, Cidade Universitária, campus I, Castelo Branco, João Pessoa, Paraíba, Brazil, CEP 58051-900. E-mail: taliehv@gmail.com

Talieh S. V. Ferreira, Ph.D. from the Department of Management, Federal University of Paraíba (UFPB); Márcio A. V. Machado, Ph.D. from the Department of Management, University of Brasília (UnB); Polyandra Z. P. Silva, MSc. from the Department of Accounting, University of Brasília (UNB).

Talieh S. V. Ferreira is now a research fellow at Center for Research on Finance and Accounting (GFIC) and Center for Research on Accounting and Capital Markets (Necmec) of UFPB; Márcio A. V. Machado is now an associate professor at the Department of Management of UFPB; Polyandra Z. P. Silva is now an assistant professor at the Department of Accounting of Federal University of Cariri (Ufca).

EDITORIAL BOARD

Editor-in-chief Gilberto Perez

Associate editor David Ferreira Lopes Santos

Technical support Vitória Batista Santos Silva

EDITORIAL PRODUCTION

Publishing coordination Jéssica Dametta

Language editor Daniel de Almeida Leão

Layout designer Emap

Graphic designer Libro

PANEL A
	σ	σ_d	Sent	Sent_OP	Sent_PE	PU
σ_d	0.7542^* ***** 1%.
Sent	-0.6701^* ***** 1%.	-0.6378^* ***** 1%.
Sent_OP	-0.3896^* ***** 1%.	-0.4057^* ***** 1%.	0.6234^* ***** 1%.
Sent_PE	-0.5944^* ***** 1%.	-0.4916^* ***** 1%.	0.6634^* ***** 1%.	0.1941^ 5%,
PU	0.0529	0.0193	-0.0336	-0.0259	0.0155
EC	0.1842^ 5%,	0.1426^* * 10%,	-0.0236	0.0012	-0.1023	-0.0316
PANEL B
	Size_S	Size_B	Bm_H	Bm_L	Ili_H	Ili_L
Sent	-0.2175^* ***** 1%.	-0.3120^* ***** 1%.	-0.2986^* ***** 1%.	-0.1853^ 5%,	-0.1890^ 5%,	-0.3085^* ***** 1%.
Sent_OP	-0.1160	-0.0852	-0.1286	-0.1113	-0.1342	-0.0906
Sent_PE	-0.3571^* ***** 1%.	-0.5337^* ***** 1%.	-0.4678^* ***** 1%.	-0.3211^* ***** 1%.	-0.2820^* ***** 1%.	-0.5183^* ***** 1%.
(Mr-Rf)	-0.4048^* ***** 1%.	-0.4180^* ***** 1%.	-0.3762^* ***** 1%.	-0.4339^* ***** 1%.	-0.3775^* ***** 1%.	-0.4122^* ***** 1%.
PU	-0.1358	-0.1223	-0.1125	-0.1733^ 5%,	-0.1468^* * 10%,	-0.0997
EC	0.2291^* ***** 1%.	0.1930^ 5%,	0.1788^ 5%,	0.2585^* ***** 1%.	0.1985^ 5%,	0.2107^ 5%,

Variables	Model I				Model II
Variables	Coefficient		Z Test		Coefficient		Z Test
Sent	-0.0001^* ***** 1%.		-2.89
Sent_OP					0.0001		0.15
Sent_PE					-0.0003^* ***** 1%.		-5.19
Vol_d	0.5961^* ***** 1%.		8.19		0.4878^* ***** 1%.		6.20
PU	0.0001		0.68		-0.0001		-0.07
EC	0.0001^* * 10%,		1.80		0.0001		1.55
Intercept	0.0012^* ***** 1%.		5.38		0.0012^* ***** 1%.		4.88
Wald chi2	0.0000	*Sargan*	0.9606	Wald chi2	0.0000	*Sargan*	0.1883
R²	0.6330	*Shapiro-Wilk*	0.0000	R²	0.6264	*Shapiro-Wilk*	0.0000
*Wu-Hausman*	0.0217	BP	0.000	*Wu-Hausman*	0.0496	BP	0.0000
MES I	105.356	BG	0.3039	MES I	17.276	BG	0.2692
MES II	-	Obs.:	142	MES II	47.509	Obs.:	142

	Difficulty pricing			Opposite characteristic
	Size_S	Bm_H	Ili_H	Size_L	Bm_L	Ili_L
Sent	-0.0007^ 5%,	-0.0007^ 5%,	-0.0005^* * 10%,	-0.0012^* ***** 1%.	-0.0005^* * 10%,	-0.0013^ 5%,
Sent	(-2.21)	(-2.26)	(-1.94)	(-2.57)	(-1.67)	(-2.49)
σ_d	0.3172^* ***** 1%.	0.4747^* ***** 1%.	0.3254^* ***** 1%.	0.5186^* ***** 1%.	0.3853^* ***** 1%.	0.5267^* ***** 1%.
σ_d	(4.27)	(6.81)	(4.36)	(7.38)	(3.64)	(7.58)
(Mr-Rf)	-0.0354^* ***** 1%.	-0.0359^* ***** 1%.	-0.0299^* ***** 1%.	-0.0419^* ***** 1%.	-0.0391^* ***** 1%.	-0.0439^* ***** 1%.
(Mr-Rf)	(-5.20)	(-5.66)	(-4.90)	(-6.27)	(-3.24)	(-6.05)
PU	-0.0012	-0.0011	-0.0012^* * 10%,	-0.0016^ 5%,	-0.0020^ 5%,	-0.0015^* * 10%,
PU	(-1.56)	(-1.54)	(-1.74)	(-2.00)	(-2.37)	(-1.77)
EC	0.0009	0.0003	0.0007	0.0003	0.0011	0.0005
EC	(1.18)	(0.48)	(0.94)	(0.38)	(1.30)	(0.58)
Intercept	0.0078^* ***** 1%.	0.0057^* ***** 1%.	0.0071^* ***** 1%.	0.0060^* ***** 1%.	0.0078^* ***** 1%.	0.0063^* ***** 1%.
Intercept	(7.84)	(6.35)	(7.77)	(6.00)	(5.72)	(5.87)
Wald	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
R²	0.3360	0.4515	0.3074	0.5439	0.4061	0.5425
WH	0.0490	0.0331	0.0494	0.0161	0.0458	0.0253
MES I	125.76	90.297	174.02	26.683	73.589	27.267
Sargan	0.2720	0.0792	0.8638	0.0873	0.7342	0.1152
SW	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
BP	0.000	0.000	0.0000	0.000	0.000	0.0001
BG	0.5034	0.3312	0.2664	0.2643	0.1956	0.4330

	Difficulty pricing			Opposite characteristic
	Size_S	Bm_H	Ili_H	Size_L	Bm_L	Ili_L
Sent_OP	-0.0005	0.0008	-0.0004	0.0015	-0.0001	-0.0017^* * 10%,
Sent_OP	(-0.42)	(0.79)	(-0.54)	(1.63)	(-0.15)	(-1.68)
Sent_PE	-0.0015^* * 10%,	-0.0026^* ***** 1%.	-0.0011^* * 10%,	-0.0026^* ***** 1%.	-0.0012	-0.0029^* ***** 1%.
Sent_PE	(-1.83)	(-3.11)	(-1.67)	(-2.89)	(-1.54)	(-3.01)
σ_d	0.3003^* ***** 1%.	0.4099^* ***** 1%.	0.3181^* ***** 1%.	0.4897^* ***** 1%.	0.3742^* ***** 1%.	0.4928^* ***** 1%.
σ_d	(3.89)	(5.36)	(4.18)	(6.66)	(5.20)	(6.80)
(Mr-Rf)	-0.0350^* ***** 1%.	-0.0355^* ***** 1%.	0.0296^* ***** 1%.	-0.0425^* ***** 1%.	-0.0389^* ***** 1%.	-0.0445^* ***** 1%.
(Mr-Rf)	(-5.09)	(-5.48)	(-4.78)	(-6.43)	(-5.60)	(-6.16)
PU	-0.0014^* * 10%,	-0.0015^* * 10%,	-0.0013^* * 10%,	-0.0019^ 5%,	-0.0021^* ***** 1%.	-0.0019^ 5%,
PU	(-1.71)	(-1.92)	(-1.85)	(-2.42)	(-2.57)	(-2.18)
EC	0.0009	0.0002	0.0006	0.0001	0.0010	0.0003
EC	(1.10)	(0.31)	(0.85)	(0.16)	(1.22)	(0.38)
Intercept	0.0071^* ***** 1%.	0.0014^ 5%,	0.0067^* ***** 1%.	0.0029^ 5%,	0.0071^* ***** 1%.	0.0029^ 5%,
Intercept	(4.36)	(2.48)	(4.85)	(2.23)	(4.17)	(2.07)
Wald	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
R²	0.3263	0.4321	0.2928	0.5546	0.3982	0.5470
WH	0.0385	0.0067	0.0255	0.0387	0.0490	0.0334
MES I	34.932	36.193	40.497	44.989	25.846	45.079
MES II	95.335	80.642	68.019	47.908	75.3953	50.545
*Sargan*	0.7235	0.1029	0.2543	0.1324	0.1780	0.0881
SW	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
BP	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
BG	0.4417	0.2450	0.2506	0.2284	0.1712	0.4116

[1] Correspondence concerning this article should be addressed to Talieh S. V. Ferreira, Cidade Universitária, campus I, Castelo Branco, João Pessoa, Paraíba, Brazil, CEP 58051-900. E-mail: taliehv@gmail.com

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ASYMMETRIC IMPACT OF INVESTOR SENTIMENT ON BRAZILIAN STOCK MARKET VOLATILITY

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