Sentiment Spillover

This courselet introduces a method to study the impact of sentiment spillover on systemic risk and tail risk spillover.

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Suggested citation

Caraiani, Petre (2025). Sentiment Spillover. Q2 ecosystem. Available at https://quantinar.com/course/866/sentiment-spillove or http://dx.doi.org/10.24818/IDA-CL/2025.31.

@misc{caraiani2025, author = {Caraiani, Petre}, title = {Sentiment Spillover}, year = {2025}, howpublished = {Q2 ecosystem}, doi = {http://dx.doi.org/10.24818/IDA-CL/2025.31.}, url = {https://quantinar.com/course/866/sentiment-spillove} }
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Courselet Content

1 components

	Sentiment Spillover and Tail Risk Spillover (pdf)	9.06 M

Requirements

Statistics Networks Time -series finance

General Overview

Description

We use high frequency data to construct measures of sentiment spillovers for financial stocks listed in the United States. We then test and find a statistically and economically significant response of tail risk spillovers to investor sentiment spillovers. We found significant effects for both positive and negative sentiment. For the former, this leads to dampening tail risk spillovers, while for the latter, tail risk spillovers are amplified.