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Quantifying Market Sentiment Influence on Systemic Connectedness: A Quantile-Based Analysis Across Asset Classes

2026-08-04Artigo de investigação Acesso embargado
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datacite.subject.fosCiências Sociais
datacite.subject.sdg08:Trabalho Digno e Crescimento Económico
datacite.subject.sdg01:Erradicar a Pobreza
dc.contributor.authorAlmeida, Doraen_US
dc.contributor.authorFerreira, Pauloen_US
dc.contributor.authorDionísio, Andreiaen_US
dc.contributor.authorQuintino, Dericken_US
dc.contributor.authorAslam, Faheemen_US
dc.contributor.authorCorresponding author: Almeida, Dora.en_US
dc.date.accessioned2026-08-07T11:20:35Z
dc.date.available2026-08-07T11:20:35Z
dc.date.embargo2027-08-04
dc.date.issued2026-08-04en_US
dc.date.updated2026-08-04T16:52:33Z
dc.description.abstractFinancial markets are becoming more interconnected, leading to a better understanding of how shocks can spread across different markets. Investor sentiment is crucial in market dynamics, especially during high volatility. However, traditional mean-based connectedness measures fail to capture asymmetric dependence and tail-risk dynamics and are therefore less suitable under extreme market conditions, such as crises or periods of heightened uncertainty. Against this backdrop, this study employs a quantile connectedness approach to analyze the transmission of shocks among ten financial indices, including a crypto assets-related index and an economic-news-related sentiment index. The results show significant changes in shock transmission patterns, with the Daily News Sentiment Index (DNSI) being the primary transmitter during bull markets, reinforcing the influence of news sentiment on investor behavior. Traditional indices like MSCI USA (MSCI_USA) and MSCI Europe (MSCI_EUR) are key transmitters in bear and normal market conditions, while MSCI China (MSCI_CN) and the Dow Jones Commodity Index (DJCI) are more sensitive to external shocks and act as net receivers. Furthermore, the dynamic analysis highlights the evolving role of sentiment-based indicators, particularly in extreme market regimes, supporting the role of sentiment-driven contagion effects and emphasizing their relevance for risk management. These findings highlight the importance of sentiment and traditional and emerging markets in risk management and portfolio diversification for investors and policymakers.eng
dc.description.versionN/A
dc.identifier.citationAlmeida, D., Ferreira, P., Dionísio, A. et al. Quantificando a influência do sentimento de mercado na conectividade sistêmica: uma análise baseada em quantis em diferentes classes de ativos. Comput Econ (2026). https://doi.org/10.1007/s10614-026-11406-8
dc.identifier.doi10.1007/s10614-026-11406-8en_US
dc.identifier.issn0927-7099en_US
dc.identifier.issn1572-9974en_US
dc.identifier.slugcv-prod-5082667
dc.identifier.urihttp://hdl.handle.net/10400.26/64283
dc.language.isoeng
dc.peerreviewedyes
dc.subjectBull and bear markets
dc.subjectMarket sentiment
dc.subjectQuantile connectedness
dc.subjectSystemic risk analysis
dc.subjectVolatility spillovers
dc.titleQuantifying Market Sentiment Influence on Systemic Connectedness: A Quantile-Based Analysis Across Asset Classesen_US
dc.typeresearch articleen_US
dspace.entity.typePublication
oaire.citation.titleComputational Economicsen_US
rcaap.cv.cienciaid181D-7395-0348 | Dora Maria Fortes de Almeida
rcaap.rightsembargoedAccessen_US

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