This article considers web-based global investors’ crash fears as a gauge of global investors’ fears, and examines its effect on stock market volatility in a sample of emerging stock markets. We show that an increase in global investors’ crash fears significantly affects the volatility of stock index returns in emerging markets. The results are robust to the inclusion of the conventional investor sentiment/fear gauge measure, VIX. Thus broadening the set of measures of global investors’ fears is important when explaining emerging market volatilities.

JEL Classification: F30, G11, G15

中文翻译：

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基于网络的投资者恐惧衡量和股市波动：新兴市场观点

本文将基于网络的全球投资者的崩溃恐惧视为衡量全球投资者的恐惧的指标，并在一个新兴股票市场样本中考察了其对股市波动的影响。我们表明，全球投资者对股市崩盘的担忧加剧，严重影响了新兴市场中股指回报的波动性。该结果对于包括传统的投资者情绪/恐惧指标VIX来说是可靠的。因此，在解释新兴市场的动荡时，扩大全球投资者担忧的衡量标准非常重要。

JEL分类： F30，G11，G15