{"id":"https://openalex.org/W4211031802","doi":"https://doi.org/10.2139/ssrn.4025160","title":"The Impact of Retail Investors\u2019 Sentiment on Conditional Volatility of Stocks and Bonds","display_name":"The Impact of Retail Investors\u2019 Sentiment on Conditional Volatility of Stocks and Bonds","publication_year":2022,"publication_date":"2022-01-01","ids":{"openalex":"https://openalex.org/W4211031802","doi":"https://doi.org/10.2139/ssrn.4025160"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.4025160","doi":"https://doi.org/10.2139/ssrn.4025160","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.4025160","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.4025160","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058473215","display_name":"Elroi Hadad","orcid":"https://orcid.org/0000-0001-5808-7098","observed_orcids":["https://orcid.org/0000-0001-5808-7098"]},"institutions":[{"id":"https://openalex.org/I3129975082","display_name":"Sami Shamoon College of Engineering","ror":"https://ror.org/011aa4g29","country_code":"IL","type":"education","lineage":["https://openalex.org/I3129975082"]}],"countries":["IL"],"is_corresponding":false,"raw_author_name":"Elroi Hadad","raw_affiliation_strings":["Shamoon college of Engineering, Basel street, Beer-Sheva, 84100, Israel","Shamoon college of Engineering"],"raw_orcid":"https://orcid.org/0000-0001-5808-7098","affiliations":[{"raw_affiliation_string":"Shamoon college of Engineering, Basel street, Beer-Sheva, 84100, Israel","institution_ids":["https://openalex.org/I3129975082"]},{"raw_affiliation_string":"Shamoon college of Engineering","institution_ids":["https://openalex.org/I3129975082"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5091839160","display_name":"Haim Kedar\u2010Levy","orcid":"https://orcid.org/0000-0001-5976-9680","observed_orcids":["https://orcid.org/0000-0001-5976-9680"]},"institutions":[{"id":"https://openalex.org/I124227911","display_name":"Ben-Gurion University of the Negev","ror":"https://ror.org/05tkyf982","country_code":"IL","type":"education","lineage":["https://openalex.org/I124227911"]}],"countries":["IL"],"is_corresponding":true,"raw_author_name":"Haim Kedar-Levy","raw_affiliation_strings":["Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management, P.O. Box 653, Beer-Sheva 84105, Israel","Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management"],"raw_orcid":"https://orcid.org/0000-0001-5976-9680","affiliations":[{"raw_affiliation_string":"Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management, P.O. Box 653, Beer-Sheva 84105, Israel","institution_ids":["https://openalex.org/I124227911"]},{"raw_affiliation_string":"Ben Gurion University of the Negev - Guilford Glazer Faculty of Business and Management","institution_ids":["https://openalex.org/I124227911"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5091839160"],"corresponding_institution_ids":["https://openalex.org/I124227911"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.7681000232696533,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.7681000232696533,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.22059999406337738,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0066999997943639755,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/retail-investor-sentiment","display_name":"retail investor sentiment","score":0.9459999799728394},{"id":"https://openalex.org/keywords/conditional-volatility","display_name":"conditional variance","score":0.9409999847412109},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.6880000233650208},{"id":"https://openalex.org/keywords/corporate-bond-returns","display_name":"corporate bond returns","score":0.871999979019165},{"id":"https://openalex.org/keywords/limit-order-book","display_name":"limit order book","score":0.7630000114440918},{"id":"https://openalex.org/keywords/retail-trade","display_name":"retail trade","score":0.5770000219345093},{"id":"https://openalex.org/keywords/market-microstructure","display_name":"market microstructure","score":0.656000018119812},{"id":"https://openalex.org/keywords/tel-aviv-stock-exchange","display_name":"Tel Aviv Stock Exchange","score":0.7950000166893005},{"id":"https://openalex.org/keywords/market-states","display_name":"market states","score":0.5070000290870667},{"id":"https://openalex.org/keywords/institutional-investors","display_name":"institutional investors","score":0.43299999833106995}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6927897930145264},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5508810877799988},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.533656656742096},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5268936157226562},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.47259220480918884},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.38014259934425354},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.36125847697257996},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.3446443974971771},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.18335002660751343}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.2139/ssrn.4025160","doi":"https://doi.org/10.2139/ssrn.4025160","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.4025160","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:arx:papers:2208.01538","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/2208.01538","pdf_url":"http://arxiv.org/pdf/2208.01538","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:2208.01538","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/2208.01538","pdf_url":"https://arxiv.org/pdf/2208.01538","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2208.01538","doi":"https://doi.org/10.48550/arxiv.2208.01538","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2208.01538","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.2139/ssrn.4025160","doi":"https://doi.org/10.2139/ssrn.4025160","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.4025160","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4211031802.pdf","grobid_xml":"https://content.openalex.org/works/W4211031802.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4285221402","https://openalex.org/W4386444820","https://openalex.org/W4289820979","https://openalex.org/W7139325765","https://openalex.org/W2008422969","https://openalex.org/W2797879079","https://openalex.org/W2376814487","https://openalex.org/W1966916709","https://openalex.org/W4220906524","https://openalex.org/W1975758199"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2023,"cited_by_count":1}],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2022-02-13T00:00:00"}
